Connect to Windows server using R

My company's data are stored in Windows server VM. Normally I can access through RDP. I installed R Studio IDE on laptop.

Is that possible to using R code to remote connect to the Windows data server instead of download data to te laptop?

I read articles on POSIT website regarding this topic. But it seems for Windows server, the data have to be in some database, such as SQL database. But our data are purely individaul data files under certain folder. I am not sure in such as if it is possible to access.

Anyone can give guidance here?