Hi,
We have blender running on our network, I have tested on our version and the way to set it to autosave to the student's network area is by changing the run in option on the shortcut to the Drive letter, network location or folder location that has been set up for redirecting to student documents. Also, what do you mean by .exe and not .msi is this the installer or the program? As for the issue with showing local drives and network location they will only be able to save in the locations that have been set up to have the students save to. Hope this helps.