The phone doesn't understand UNC network paths - it doesn't support the SMB protocol which Windows File Servers use.
You will either need to package up the file so that it is part of the application package (.xap file) and is local to the phone or serve up the assets using a Web Server (i.e. using the http:// protocol).
The first option is obviously the most robust as it doesn't require that the phone has a network connection to your server.
For an example of how to do this, see this blog post for the difference between packaging "Content" and "Resource" files (it mentions XML files, but the concepts are the same for any file type).