Windows XP and Vista have a feature called Offline Files (previously known as Offline Folders) that allows you to mark particular folders (and their sub-folders) to be available offline. When you are on the network, Offline Files automatically synchronizes the folders so that you have a copy of them locally on your hard disk. Then when you are offline (and don't have access to the actual server),
Offline Files makes it look like you are online by simply accessing the locally cached copy. Later, when you do have access to the file share, Offline Files automatically synchronizes any changes you have made offline with the online version and vice-versa.
To use Offline Files in MediaMonkey, just make sure to scan the network location using a full UNC path. e.g. instead of scanning a mapped network drive such as N:NASMusic, scan \\SERVERNAME\NAS\Music. If you prefer not to use the Offline Files feature, you can also take advantage of MediaMonkey's built-in Virtual CD function to cache external CDs or Network Content.