Hi Dan,
I use UNC paths for DMX file repository. In the Main Settings, you will see a choice of Default or a custom value.
In the custom value, you can enter \\ServerName\shareName
If this is not working for you, there are two immediate issues that come to mind. If the UNC path is a different server, which is it sounds like it is, then the AppPool account needs permissions to it. I always run DNN sites under low level Domain user accounts and then give them permissions where needed.
The other issue is if your site is running Medium Trust. UNC paths will not work unless you create a custom trust settings file.
Hope this gives you some ideas.
Rob Ralston