I am in a very similar situation and need to know how this works as well.
In our case, we have multiple training presentations that have been sent to us by our software provider in Flash format. The browsers are capable of running these and it works from the machine if I have it downloaded outside of Moodle.
Instead of putting all the trainings on each and every machine (vastly time consuming) I want to put it all on the server and be able to have them linked to the local files on the server from within individual courses. Uploading the files to Moodle will (a) double the drive space used [we are limited on drive space] and (b) be even more time consuming because of the shear number of files already installed.