Sergey,
It's almost working. I've just discovered that it works only on SQL Server PC.
I was able to create a linked server, my OPENROWSET, OPENQUERY select statements work fine only at this machine.

When I try to run it from my computer or anybody elses it says that VFOLEDB.1 Invalid path or file name.

We've also were trying to create a dummy database and try to connect to it NOT from SQL Server PC, it only work if you put this database in SQL PC box.
And it finds it no metter you use network path or maped drive. I cannot see anything except SQL Server PC from any computer in the network. And everything from SQL PC. Please help to find a right direction.