On Windows you need to share the transport directory with the other systems.
Regarding the password prompt I would do a Transport tool check from SAP and see if there are some errors reported. if not there is nothing to worry about.
I believe on Windows SAPServiceSID is the one to be considered.
If the password prompt is blocking then you may read these suggestions.
http://pressf1.pcworld.co.nz/showthread.php?107382-Shared-folder-keeps-on-asking-for-password
windows 7 - How to access shared folder without giving username and password - Stack Overflow
Good Luck
RB