If you go into Start -> Programs -> Administrative Tools -> Computer Management, you can choose System Tools -> Local Users and Groups to display the users. If you double-click on a user to bring up their properties and then click the Profile tab, you'll see a place where you can enter the path to a login script.
Also, it looks like the Connect button let's you automatically map a drive to a network share. Further, I'd bet you can set the user's home to a folder on that mapped drive using a system variable %username% as part of the "To:" string. Something like \\net-serve\%username% should do that (where "net-serve" is the name of your network file serving machine).
If you don't have "Administrative Tools" on your Programs menu, you might see it via the Control Panel. Otherwise, right-click on your toolbar and pick Properties. On the Start menu tab, click Customize. If you are an administrator on that machine, you'll see Display Administrative Tools on the list of check boxes. Check it so that it appears.
