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We have a legacy application which has data and PDF files available on a network share, and a locally-installed EXE to run it. The EXE uses a UNC path to access the data and PDFs.

The customer is concerned that users can access the data and PDFs outside the application.

Question: Is it possible, via Group Policy, third-party applications or whatever, to restrict Windows Explorer, CMD.EXE and so on from accessing this shared location while still allowing the application to access it?

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Short answer is no, but you can restrict access beyond the authentication/authorization methods avaiable within whatever network file system protocol you are using (probably SMB since you've mentioned .EXE files and windows-explorer).

See discussion on Building a Student Storage server

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Thanks. I think they're going to have to run it via Terminal Services, set to log in with a dedicated username and set to run the app automatically. –  Alan B Jun 29 '11 at 14:22
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