There is a great whitepaper available that explains the "ins and outs" of using file servers/UNC paths for hosting content. The document's original link had been missing from the MS web site for quite a while and I has happy to discover
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Read the complete post at http://blogs.iis.net/tomkmvp/archive/2009/04/28/deploying-and-configuring-internet-information-services-iis-6-0-with-remotely-stored-content-on-unc-servers-and-nas-devices.aspx