It means exactly what it says. You cannot run this application if it is on a network drive. The instructions to fix the problem are in the next sentence of the error message.
If you are running Parallels then you are running a version of Windows in the Parallels Virtual Machine. In that VM of Windows you have to specify a Virtual HDD that Windows and programs for Windows are installed on. You need to copy the CC.exe file from the Mac HDD to the VM hard drive for Windows then run the .exe file.
You probably saved the Windows version of the CC app to the Mac HDD because you used a web browser on OS X to do the downloading.
Thank you Just Shoot Me for your well explained reply. No, I opened Parallels and then the internet explorer within Windows 10. I connected to the Adobe site fro there and downloaded 'CreativeCloudSet-Up.exe'. It is now sitting in the Windows 10 downloads folder.
And what happens when you double click on that file in the Win 10 download folder?
It is now sitting in the Windows 10 downloads folder.
The default Parallels installation sets up a number of the standard Windows folders to link to network folders that reside in the Mac filesystem. For example, the Windows Downloads folder links to the network folder \\Mac\Home\Downloads:
\\Mac\Home\Downloads is the Downloads folder in your Mac user account. Thus, when you try run a .exe from the Windows Downloads folder, you are actually running it from a network folder, which LR doesn't like.
The Windows folders that are specially mapped to network folders include: Desktop, Documents, Downloads, Music, Pictures.
To get to a folder that actually resides on the virtual Windows C: drive: In Windows File Explorer, navigate to Local Disk (C:) > Users > Public. Copy the .exe to that folder and double-click it there.