I'd suggest creating a shared folder and then using a unc path to the shared folder as location at which to save the report. A unc path should work as unc paths specify the machine for the share. With that type of path, the print process won't assume that the folder is on the machine where the report is running.
The RunOn property of the report's menu item determines if the report will be executed on the client or the server. The property value is probably set to server for this report to allow the report to run in batch.
If the report is not ever run in batch, then you could try changing the property value. If the report does run in batch, then don't change it as the report would start failing when run in batch.
Hope this helps,
Lance