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Have you tried attach or load? Or are you asking for something different?

Edit:

I imagine it would be a little challenging in the virtual machine. In the notebook interface, you should still be able to do it, though. Try using the link in the picture below:

$C:\fakepath\Screen shot 2012-02-13 at 1.52.00 PM.png$

Then you can refer to the data file foo.py by doing something like attach(DATA+"foo.py"), I think. The quote will be important, because I believe that DATA is already a string giving the data directory for that worksheet.