Try setting up a system DSN driver first through ODBC on the server itself at the OS level, then create the linked server using the DSN from what you just created.

When you create the Linked Server, give it the same name as the ODBC one you created, in the Provider combo select the OLEDB Provider for ODBC drivers, The data source should also be the same name as the ODBC one you created, then in the Provider string, fill in the driver info...it's usually something like :: "Driver={Microsoft.Jet.OLEDB.4.0};SourceDB=YourPathToTheAccessDB"

Aiding to what Lowell said, make sure your proxy account has access to the folder where the file resides as well. In most situations like this, it ends up being security-related or a mixup in how the Domain/System Administrators set up the share. You can test this easily using xp_cmdshell (if you have that enabled on your SQL server instance) if you can access the file/share via this tool you'll know the permissions are fine (as this tool uses the proxy account)