You can not run UBB.classic directly off a Windows share. The share would need to be mapped to a drive letter on the machine in order to make the path work properly. This is not directly a UBB.classic limitation, but a limit of addressability of shares from Perl. (Windows won't let Perl open a share directly, but has no problems letting it access the share when mapped to a drive letter.)
In addition to this, running UBB.classic over any sort of networked filesystem is completely unsupported due to generally poor or missing file locking support. It's possible that it will work, but we can't support you if problems occur.
You were told this very clearly this morning in your support ticket.
While normally I would advise the use of UBB.threads in a load balanced environment, you're also on Windows, which is not exactly the optimium operating environment for PHP or MySQL.
At this time, I would advise that you ask your host if they have any servers available that are not load balanced, or at the very minimum, if they can map the share to a drive for you.