This is a local file problem, not a URL issue. It is usually caused by IIS pointing to a deep folder structure then the structure of the website after that. It affects the Store many because of the plugable provider mechanism, but it can affect other modules as well. For example, using a stock setup...
c:\inetpub\dotnetnuke\dnn435\destopmodules\store\providers\dataproviders\sqldataprovider\ is the path before the filename itself.
It gets worse on your desktop...
c:\Documents and Settings\username\My Documents\Visual Studio 2005\Projects\DotNetNuke\DesktopModules\Store\store\providers\dataproviders\sqldataprovider
One quick workaround is to move your DotNetNuke install folder to a root folder. For example, you could use
c:\dnn435
Then open IIS Manager and change the proprties to point to the new folder. Don't forget to check permissions on your new folder (IIS 5 requires user\ASPNET, IIS 6 Network Services).
This has been logged for the Store module, but it could not be fixed before the next release.
I hope this is of some help to you.