The paths in PF 2000 are local and would/should have been setup automatically during installation.
The Destination ('Change Dest') path in PFE (which can be found after clicking the FS FP Converter button from the main screen) is also local and should be the ...PFE\FS2000\Pilots folder)
The Source ('Change Source') path in PFE needs to know where your FS flight plans are saved. That, of course, could be anywhere. You may be using the FS flight planner in which case it's on your FS machine (probably your server) or maybe if using another flight planner it could be on another client or the same maching that you're running PFE. Wherever they are PFE needs access to them.
I have set PFE Options 1 and have selected and compiled a plan and loaded it as an ADV. In the tutorial it tells me to load this plan, which I will find with the prefix PFE, into my GPS.
Firstly, I use FMC/CDU, and secondly, I have no PFE-prefixed plan in my FS plan folder. There IS one in the PFE PIlots folder on the client, which is where the manual says that they are "normally" saved. Is a networked setup "normal" or should the saved folder be something different from the one suggested in the manual?
You will find the file in your FS flight plan folder or the folder where your flight planner generates the file
Hope that helps