There's an obscure issue with Access 2003, not being able to open an MDB from a network location via Explorer. It outright refuses to open the file, so when attempting, nothing seems to happen.
This is caused by security measures in Access 2003, where you normally have to confirm to open the file, which fails. However, I'm guessing this is not by design that it does not open at all.
A workaround is to create a shortcut to said file, then edit the shortcut so it reads:
"C:\Program Files\Microsoft Office\OFFICE11\MSACCESS.EXE" /NOSTARTUP "MyFile.MDB"
Adjust the installation path and file location to your needs.
This way, Access gets started first, with the file as parameter, so it gets opened.