Denis,

First, in Your scenario, the file needs to be in the C:\ drive of the SQL Server box;

Second, check the file security:

If you log on SQL Server by a SQL Server login, the SQL Server service (process) account is used to access the file.

If you log on SQL Server by Windows Authentication, you can read only those files that can be accessed by your windows account, regardless of the security settings of the SQL Server service account.