The Server Config will ask you if you would like to create a share when it is first run. If you choose No, it will ask each time you run the Server Config.
The share is used by the end-users to launch <share>\Client\SpamSleuth.exe so they can configure their own spam settings.
If the share is not created by the Server Config, you may not be logged into the server with sufficient rights to create the share. We recommend that you log in with an account that has right to create a share.
You may also create the share yourself. If you do, make sure that you give the server directory the SYSTEM right so that the service can use it. See Securing your Installation for more information on the required rights.