Making an alias??

I just bought a Mac yesterday, first one, I'm a n00b, woohoo. Anyway, basically what I am trying/wanting to do is hook the Mac Mini I bought, up to my tv, use it as somewhat of a media center with Front Row. My problem is I keep trying to make an alias to a folder where some of my movies and videos and such are stored on an external drive. I can make an alias to folders and such that are on the local drive easily, but I cant get it to let me do it on drives that are shared from my desktop, or from my external drive. Now, I'm taking a shot in the dark, but I'm wondering if this has something to do with the fact that the folders I'm trying to alias to are residing on an NTFS partition. Can anyone confirm this? Or better yet can anyone give me some direction as to what to do to solve this issue? The option to make an alias to these folders doesnt even appear.

Thanks in advance.