This issue seems to come up quite a lot, so here are the instructions on setting up Subsonic on Windows to support media that is located on a media share.
* Start -> Run -> services.msc
* Locate "Subsonic", right-click and choose "Properties".
* Click on the "Log On" tab on the properties window
* Click on the "This account" radio-button and fill in the username and password of an administrator account (this could be your own account, if it has admin privileges - which most likely it does).
* Press OK and restart the service, and you should be set to go.