htkaki, here's a quick overview about using a NAS.
if you use a sharkoon/hotway 4 bay storage device, and connect it via USB to your media player, you will see a list of folders, files etc. you will then navigate it via our media player, and then play your files accordingly.
a NAS is similar, but it is like a mini PC. It has a processor, memory, and runs on it's own OS. You will need a PC to access the web UI of the NAS to configure/manage it. Since it has an OS, there are also applications like media servers, web servers, download managers etc. It is also more energy efficient than using a PC to do all this on a 24/7 basis.
using a NAS is similar to the external USB storage, only that it is connected via networking instead, usually wired. Instead of it being local files, it would then be on a network shared folder. There are 2 kinds of network shared folders, SMB and NFS. NFS offers better performance, but you will need to enable it on your NAS, and your media player needs to support it. I believe the Dune supports NFS (WDTV Live does not). Once you have connected to the folder, you just browse and play the content, no problem.
you can also access the NAS content if it has a DLNA media server application on it, and if your media player is also a DLNA media renderer, which I believe the Dune is capable of doing so. There are advantages to this, such as creating a media library, tags, etc. Synology has a simple DLNA server app, but you can also install 3rd party DLNA server apps like Twonky. I believe bro terranova is more knowledgeable in this.
one cool thing I can do with my NAS and WDTV Live is using an iPhone app called ZappoTV. I can use my iPhone to browse my DLNA media library, and then select the movie/song I wish to play, and "ask" the WDTV to start playing it. Quite cool

hope this helps ya