Your script will attempt to save to a location from the context of your local machine. That could still be a save to a shared directory on a different computer, but only if the file path used points to that location and the current computer has "write" access to it.
I suggest posting the actual expression you are using to specify the file path.
Some other links you may find helpful:
A form thread on using a script to save a PDF: Found Sets to PDF with unique file names
A more in depth exploration of $Path variables and the script steps that can use them: Exploring the use of a $Path Variable in Scripts
Thank you! I got it working with the "Set Variable" and $Path method. I now realize I hadn't specified the full file path for the Desktop.
Another question: How to get it to work with Instant Web Publishing? It works right now when I'm in Filemaker 12 on my computer, but when I do it from IWP there is no error message or anything, but the pdf doesn't download.
Save Records as PDF is not compatible with Instant Web Publishing. You can check script step compatibility in the script editor by selecting Instant web publishing in the compatibility drop down.