Hi :) is not that easy to answer this question without information about your environment. But to start simple: when your user need access to your onprem filesserver (Windows?) than you need an direct IP connection from your Azure Network to your onprem network (is not really an wvd related topic) and this can be a VPN Connection (Site to site).
VPN Gateway requires a Subnet called Gatewaysubnet - your vNet must have at least 2 Subnets When VPN is connected than routing must be correct. this depends on your network deployment. With a single vnet it will work directly I guess..
If basic vpn is enough depends on your fileshare and the types of date and amount of data! maybe you can use Azure files or sharepoint / teams