Probably. If you're talking about Access, easiest is if the database is on a drive letter mapped from the web server. Depending on your network configuration there may be some interesting permissions problems. The web server user account needs permissions to the database file, and usually the web server user account is a local account on the web server.
I already tried to take a look of the link you give me and followed their instruction. But still I didn't figure out the way how to connect to the database located on another machine of the same network. Could you please show me with the easy way, sorry about that. Thanks in advance!