Zoe, did you set 'System' Access in the Edit Module as the default Security level? I am pretty sure this one is going to require that, if the security setting got set to 'Safe', that is likely not going to work. Only thing of which I can think at the moment.
Also, is the link a directory path, or is it supposed to be an http URL? If the prior, you will need to be sure to use UNC path, otherwise things are not going to work as far as I know. Best I have for the moment.
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