Currently a SharePoint setup is required when using Zetadocs Express, more info can be found here.
The next release of Zetadocs Express for Microsoft Dynamics NAV will add support for archiving via network folders, more info here. This software release will include support for both the Microsoft Dynamics NAV 2013 R2 Web & Windows clients and NAV on Azure, and will be released within 90 days of their availability.
Kind regards,