Jenkins slave computer: executing an exe which needs to access a network drive fails

I've bumped into that exact error myself, when tried to connect a w2k8 jenkins slave myself.

I've compiled this list of things which eventually caused Jenkins slave to connect successfully to a master:

1. Make sure that Java 1.8 is installed on the server.
2. Download Jenkins from:
https://jenkins.io/content/thank-you-downloading-windows-installer/#stable
and install it.
3. Make sure that the user windows user is a member of the local administrative account on the server.
4. Once Jenkins is installed, open services, find Jenkins service, right click and properties, click the “Log on” tab and make sure that “This account” is set with the windows user you chose, save and restart the service.
5. Open “Local security Policy” on the server, on the left panel, under “Security settins” -> “Local Policies” -> “User rights assignments” -> find policy: “Log on as a batch job”, open it and make sure that the local administrative group is added there.
6. Repeat the same steps for the policy “Log on as a service”.
7. Open “regedit”, find the following keys and repeat the steps on both of them:
HKEY_LOCAL_MACHINE\SOFTWARE\Classes\Wow6432Node\CLSID\{72C24DD5-D70A-438B-8A42-98424B88AFB8}
HKEY_CLASSES_ROOT\CLSID\{76A64158-CB41-11D1-8B02-00600806D9B6}
a. Right click the key and choose permissions.
b. Click “Advanced”.
c. In the line of “Owner”, click “change”.
d. Click “Locations” and choose the first line (this computer).
Then, in the lower box write “Administrators” and click “Check Names”, then click ok and apply.
e. Double click the Administrators line and choose under Basic permissions “Full Control” and click ok and apply.
f. In the line of “Owner”, click “change”.
g. Click “Locations” and choose the first line (this computer).
Then, in the lower box write “NT Service\trusted” and click “Check Names”, then click ok and apply.
8. Restart the server.
9. When the server is back up, open the browser and browse to:
http://JENKINS_IP:8080 and log in.
10. Then on the left panel click Jenkins -> Manage server -> Manage nodes.
11. On the left panel, click “New Node”, name it and choose “Permanent agent”.
Then in the node settings:
12. Set # of executors.
13. Set Remote root directory c:\jenkins.
14. Set: 
a. a label as the name of server.
b. Launch method: choose “Let Jenkins controlthis Windows slave as a windows service”.
c. Use javab as the “Administrator” (set user and password).
d. Run service as: choose “Use administrator account given above”.
e. Click save.
15. Once the node appears in the list of nodes, click it and choose connect node and allow 3 minutes to make the connection, even if you get an error, ignore it and it will eventually connect to the node.
At this point the new node is ready to accept jobs.

I hope this helps.

I experienced the same issue. I was able to get the transfer working by configuring the plugin to "Use active data mode". Also make sure you allow connections on port 21 from your Jenkins server.