You point the Gateway Locator to the folder containing the Maximizer data files (i.e. MXZC.MAX, MXZD.MAX, etc.). If you do it at the server then you don't need to worry about the UNC path; simply browse to the appropriate folder on the local drive.
If you have several shared Address Books then you need to make sure that a permanent gateway assignment is applied to each of the folders where the data files reside.