If the files are in a Document Library in Sharepoint, you can obtain a direct link to the shared drives with the data. To do this, go to the document library. Above the files in the library, you should see buttons like: New, Upload, and Actions. Under Actions, you can select "Open with Windows Explorer". That should open up a Windows Explorer window with the address to the location in your address bar. You should be able to use that address in JMP to access the file directly.