As Mark says, you can just type in the path. Counter intuitively, you need to click to the right of where it says Computer in a box.
You can use z:\, provided the drive is mapped for the user that is running Sense as a service. It is best not relying on this, and a UNC path is better. In your case this will be:
Note that the service account running Qlik Sense server will need to be granted read rights on this share for it to work.
Hope that helps,