Windows uses drive letters... Linux does not.
You need to do what it says.. and mount shares onto your machine, which will mount to a folder. Once you have access to the network drive just fine in Linux... then you can config that link in Wine so its seen as a drive letter to the Windows program. Run winecfg ('wine winecfg' in Terminal), and you should find a tab there where you can set up drive letters and pick where you want them pointed to on your machine.
