Mr Denny and Jeff have given you a good explanation. When you run something in SQL Server, using SSMS or your client, it doesn't run under your windows account, or from the perspective of your machine. It's submitted to SQL Server and then executed AS IF the SQL Server itself, or it's service account/proxy (depending on how you've implemented it) sees the files. Even if you are on the console, it's executed from the context of the service account.