Click to [Properties] => [Log on] and change the user to another one.
I want to save into a windows share, which doesn't work.
In this case your service has no access to the share because it is started as a "Local System".
In order to get access to the share you need to switch the user to one whohave this rights.
Please open the Windows Services ([WIN]+R services.msc) and search for EEAttachments.
Please also note that the user you have selected has write access to the local computer in the directory C:\ProgramData\EEAttachments\