Perhaps someone else has some boilerplate they can paste with the "real answer", but this is usually caused by path issues -- when you set it up on the server, you probably set it up to use "C:". The initial setup WGUIDE.HLP has the following paragraph about network setup:
4: WinPMail will ask you for a mailbox directory - a place where it should store all your mail-related files. You must provide a path to a directory on a shared volume that all your mail users can access. It is important that all your mail users see this directory using the same drive letter - you cannot have one user see it as drive F: while another sees it as drive G:. WinPMail will create a subdirectory in the location you supply for each person who uses the program.
You don't have to use a mapped drive letter, you can use a UNC path (i.e. something like \\SERVER\PMail where "PMail" is the share-name on the server). You can change this in your current setup by opening a DOS prompt, changing to the shared folder on the server, and running PCONFIG.