Such URIs are not supported by this function. It works only for the file systems mounted on the local computer. The files themselves could be on some other computer, if they are in the directory shared for the network users using file sharing protocols and this directory is mounted on a client computer. Other kinds of protocols (like HTTP, FTP and so on) are not supported.
To down load a file exposed via HTTP, you can use the class
For one sample showing how to download, you can use my application HttpDownloaded posted here:
how to download a file from internet
See also my past answer:
how to download a file from the server in Asp.net 2.0