Here is the exerpt from the doc page -

By default, the Windows administrative shares, such as C$ and D$, cannot be
used for installing the management agents. You have to manually create a
share for installing the agents.

Do I really need to setup a share on every windows server I'm putting the
agent on? What's the deal with not being able to use an admin share?
That's what the admin shares are there for. In an environment as large as
mine, that means creating shares on over 100 windows servers in order to
get this agent rolled out. Can I just copy the files to the server and run
the setup on the windows server itself?