A shortcut to the 'server' share is automatically added to My Network Places, when you open a file on a UNC share.

There is a system policy called Do not add shares of recently opened documents to My Network Places, which you can implement locally or on the domain, but I prefer using regedt32 to navigate to:

HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer

On the Edit menu, Add Value name NoRecentDocsNetHood, a type REG_DWORD. A data value of 0, or a missing Value Name, causes the shortcut to be created. A data value of 1 prevents the shortcut from automatically being added.