Problem wit saving file to another location

[b737]

I have a problem to save a file (report output .pdf, .xls) in some other location out from Cognos. It works fine when you want to save on C: or D: on machine where Cognos is installed (server) but when I want to save it on my personal machine or somewhere else it does not see that location. I have set all from that IBM manual in Cognos Connection and than from Administration, but when I want to create new location it does not see that location.

Thank's  fro help  :D