There is no built-in support for media access outside the local network.
Generally speaking, the more entry points you have into your network (outside access), the more likely one of them has a security problem.
There are several ways you can achieve what you want. You probably know about ssh/scp and I think there exist a ssh-file system that allows you to mount a folder through ssh. Maybe http://ampache.org/
will do the trick, if all you need is access to audio and video. And there is always VPN, I think there was someone working on VPN support for LinuxMCE, but I don't believe it was commited/finished.
Anyway, those are the options from the top of my head...