There are multiple scenarios where OCTGN will be running on a network share.
Your My Documents is mapped to a network drive
Using Parallels on Mac.
To fix this issue you can download this hotfix and install it on windows http://support.microsoft.com/kb/2580188/en-us . If it doesn't solve the problem and you're running Parallels you can try solution 2.
Also, if you are running Parallels on Mac you can choose to enabled 'Isolated Mode'. http://download.parallels.com/desktop/v6/docs/en/Parallels_Desktop_Users_Guide/23511.htm
After setting up isolation mode you will also want to flush you dns http://www.tech-recipes.com/rx/1600/vista_dns_cache_flush/