this is a common security issue. The problem is that when you access any resource OUTSIDE of SQL server, like network shares, local hard drives,sp_OA type functions etc, it doesn't matter what YOUR credentials are, like Domain Admin,Local Admin etc, because SQL will not carry those credentials to the "outside of SQL" security context.
SQL Server uses the account it starts with to try and access the resource:
That account is often an account which has never logged into the domain, and was never assigned permissions to get to the local disk or network share.
As a result, you usually need to create a domain account in Active Directory, specifically grant it share access if it doesn't inherit it from Domain\Users or Domain\AuthenticatedUsers and change the account SQL Server starts with to that account.
Once that is done, and you stop and start the SQL service to make it use that account instead of old running values, your linked server/xp_cmdshell would work.
you can prove this is the issue by simply putting in your credentials, with your domain account and password, and confirm the linked server works when SQL is run your credentials, so you'd know you need a domain account to access the resource.
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