To add network location to Live Screensaver Creator you need to use File URI scheme, i.e. file://

For example, for the UNC file path:
\\remotehost\share\dir\file.htm

The corresponding File URI is the following:
file://remotehost/share/dir/file.htm

The easiest way to find File URI is to drag and drop such file to Microsoft Edge, Google Chrome or Mozilla Firefox and then copy URL from the address bar.

For further reading please visit File URIs in Windows article.