you may need to talk to the IT dept , about how and what they have setup , and how to access any of company network shares
i have been helping a friend with an excel dashboard - quite a simple thing , but she had 365 on the PC and I developed with a few 365 functions - over the last weekend, unknown to her till the Monday , they migrated to sharepoint online versions and she has had loads of issues - none of the 365 functions worked anymore - she spoke to IT and for some strange reason - yet to be worked out - the online is version 2019, and so none of the 365 functions have worked.
I'm in UK and she is in US - so with timezones and her other work, this takes a while with email exchanges to sort out - as for her its just a small side project. So we have not yet got to the bottom of why there seems to be 2 versions and its not really making much sense at the moment.
As far as i could make out , there are various versions available, and all 365 - 1 is ONLINE only subscription and the others include APPS - desktop versions
when in the online version you should have an option to "open in desktop version" , open in app or save as "download a copy"
But how the external file are stored and accessed - I assume in the past was via a network share, which has now been setup via sharepoint , you may need to ask IT
OR
other members may help who are using the sharepoint system , I'm now retired and although I have used sharepoint quite a bit - that was pre 2017 and to be honest forgot most of it now.