Currently you can only drag and drop a file, and when you do it, the file is uploaded to a server.
We have local file link feature in Desktop version right now, but the entire file path should be typed in manually and it does not work with non-ASCII file path at the moment. (bug reported and tracked)
Instead, I would rather have an option to link it locally (can only be accessed locally in desktop version) or upload to the server (can be accessed via web) when you drag and drop file/folder.
This way, you can open a file/folder just by clicking the link in the list.