igiveup -- I highly recommend installing active directory to manage roaming profiles. It is a superior way to manage the users on the network and their accounts. Note that active directory requires an NTSF partition.
yazz -- you need to set up a folder on the server that is shared. Where this is located is up to you. The ideal way to do this for roaming profiles is to have a dedicated partition or drive, but this is not necessary. Assuming a dedicated drive/partition, you would create a root directory with a share. Call it what you want. Withing this folder you create folders for each user. So for example, you would have D:\Users\zazz for your own profile, where "users" is the shared directory. In the active directory users and computers, open up the user account. For profile, point to the user directory. If the name of the server is "servername", then you would enter "\\servername\users\username (eg:yazz)"
Huggis is correct--you should also specify a home directory. The best practise for this is to use the "my documents" folder contained within a users profile. This will be created by default when the roaming profile is created. So for the home directory you would enter \\servername\users\username\my documents.
BTW--make sure you have active directory installed...