If you access through the file manager, Nautilus, you'll have to go through the remote host first and then select which folder you want to access. You can create a bookmark for that location after the fact and pin it to the sidebar, but you'll be somewhat limited to use the file manager instead of a shortcut elsewhere in your computer.
You can set it up manually as per this post:
Before you attempt those steps, give it a quick test running these commands manually yourself and see if it works as expected (you will find "Terminal" in the applications menu), just make sure to replace the relevant details to your own:
sudo mount -t cifs "//192.168.1.10/Backup" /home/zenzen/Desktop/my_folder -o username=admin,password=admin
For instance, you need to specify the correct IP address of your NAS and the location you want to access. Then, you need to specify the location you want to mount it. In this example I'm using a folder called "my_folder" inside my Desktop. Make sure that the folder already exists as it won't create it automatically for you. And, of course, use the appropriate username and password.