ASP.NET, by default, does not “trust” remote content.  So depending upon where you are
in setup, you may be able to “see” the content on your remote share, but ASP.NET (at
runtime) will error because it is not “trustworthy”.  To rectify this condition, you need to
set appropriate security policy at the machine level.
This can be accomplished using either the Code Access Security Policy Tool (caspol.exe)
or the .NET Framework 2.0 Configuration Tool.  The appropriate command using caspol
would be:
caspol -m -ag LocalIntranet_Zone -url \\<ServerName>\<FolderName>\* FullTrust -n
"<Name>" -d "<Description>"

The following should give you a better idea how (and why) this is done

http://www.dotnetnuke.com/Development/Forge/ModuleReports/tabid/970/EntryId/321/Code-Access-Security-Issue-for-web-farms-with-a-separate-file-server.aspx

http://msdn.microsoft.com/en-us/library/aa302436.aspx

http://msdn.microsoft.com/en-us/library/87x8e4d1(VS.71).aspx