Perceptive Enterprise Search can handle indexing documents that exist on a network volume but your searching website must be configured to correctly handle these documents.
By default all Perceptive Enterprise Search Sites run in the context of an "Anonymous User". An anonymous user is the account that Perceptive Enterprise Search will use when it cannot identify the calling user. The anonymous user is a standard Windows account that Perceptive Enterprise Search will create on installation. The account is local to the web server (it is not a domain account). As it is a local account it does not have permission to access network resources; the searching web site will not be able to find any documents that reside on the network.
There are two possibilities to resolve this depending on your requirements. Either disable the anonymous user, which results in each user having to log into the web site, or change the anonymous user to be a user with network access.