While indexing of network locations works fine with the MSN Desktop Search [1], there is an anoying issue with the index file. The Desktop Search allows you to choose the location where to put its index file.

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I have done so. Because I like to store all my files on a server, I have choosen a folder within my 'My Documents' Folder, which is located on a network share. Right after this, Desktop Search moves its index to the new location. After that it says that something is not ok with the index file. Because of this problem, the dialog above is disabled. Even the button 'Restore Defaults' is disabled. To restore the defaults I had to reinstall the Desktop Search. Which in fact is really anoying.
[1] http://desktop.msn.com/