Most of the time, it's a permission error.  Is your SQL Server service started using the Local System account or a windows user account?  To use a network drive, it needs to be started using a windows user account, with the appropriate permissions granted to this account.  To test if you have set it up correctly, use master..xp_cmdshell 'dir \\your network share'. 

It's good practice to create a custom user account with just the basic rights on the local machine, or domain, and not to use the local / domain Administrator account.  This is because in case your SQL Server box has been compromised, the attacker will not be able to cause more damage using xp_cmdshell commands that inherits the rights of the start up service account.