You can do this in AGP. For example, in the Catalog Pane, I click Folders->Add Connection Folder. At the top of the Add Folder Connection pane, you type in \\WC-ESRI\Shared\GIS and connect to the folder. I'd probably type \\WC-ESRI\Shared\ and then single click GIS. Then click OK. Your URL UNC path is added as a folder connection in AGP.