Yes, but you need to write code. You'd call XmlForm.SetSaveAsDialogLocation()
and XmlForm.SetSaveAsDialogFilename(), and then call XmlForm.SaveAs(). This
will place the file onto the share, provided the user has rights to perform
this operation.
The form template has to be fully trusted for tihs to work.
If you have SharePoint, I'd highly recommend submitting forms to a document
library - much easier to implement, maintain, and SharePoint doc libs are so
much better than file shares
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