I have DHE 3.2.100 running on my Mac under Paralells (virtual Windows environment). It runs perfectly but when I try to save a page I get the above error. The save path is "\\.PSF\.Home\Documents\Business\Website\DHE Files" which is a shared directory. I can only save to a local directory within the virtual environment and then have to manually copy the saved file to the shared directory.
Yes, D.H.E. doesn't manage NET path, it needs a local disk. You can fix this problem by mapping a disk letter to the Net path then saving to the disk just created.