The File menu has two entries to open documents. Open will open documents directly and you can edit the files and save them. With Open in Server you open the document through the Qlikview Server. When opened this way you cannot save the changes on the server.
If you want to open files on a server directly the file system of the server needs the be exposed as a share. You can usually access such folders via a UNC path: \\MyServer\QlikviewDocs\MyQVApps.
Connection strings are usually to databases on database servers. Such connection strings don't need to change if you deploy a document on a Qlikview Server. Only connection strings to local files (for example ms-access files) need to be adapted. Or the files need to be transferred to the Qlikview Server too and placed in the same local path.