you have 2 ways for assigning files to movies :
1. automated : turn on Folder Monitoring in MM options. This will allow MM to scan your folders (on your NAS or wherever you need), and add automatically the movie profiles to your collection, including the link to the file to be played. You can configure it so it will be 100% automated : new movies will be added as soon as you add any file to the monitored folders.
2. manually : if your collection is already set up, go to a movie profile, click on the "disc" icon, then set up the link between this movie and the file through the "disc location" (first chose the "support type" in the drop down window, it should be "Folder (online)", it will then open an explorer window where you will point to your file. Once done the "disc location" field will be completed).
If for Dune you need to setup path and configure the index location in MM options, for WMC you don't need to do this, it's fully automated. For WMC the only options you can have are presentation options (check the WMC options in MM for that). FYI : some options need some points to be unlocked.