I don't know whether this is possible in XI, but it does work in 2008 and 2011. Your files must ALL be the same type of file!
1. Put an OLE Object on your report. I would do this in its own section so that it can grow as needed. You'll have to select a "dummy" file to do this with.
2. Right-click on the object and select "Format Graphic" (yes, this is not an image but that's what the menu says.)
3. Go to the "Picture" tab and click on the Location formula button. Put the field with the location of the file in this formula.
This should then automatically load the file based on the data.
-Dell