Are you running Dolphin as an administrator to avoid issues with saving things to it's folder under Program Files under Windows 7/8?
My guess is that this is due to an issue where network shares are not shared between users on a PC, so the admin user doesn't see the shares setup by a non-admin one. The easiest solution is generally to move Dolphin to a location outside of Program Files that Windows UAC won't apply to. You can then run Dolphin outside of admin mode; it will be able to save things to it's folder normally, and should see the network shares.
My guess is that this is due to an issue where network shares are not shared between users on a PC, so the admin user doesn't see the shares setup by a non-admin one. The easiest solution is generally to move Dolphin to a location outside of Program Files that Windows UAC won't apply to. You can then run Dolphin outside of admin mode; it will be able to save things to it's folder normally, and should see the network shares.