I guess this procedure uses xp_cmdshell + BCP for the export. Keep in mind that driver letters etc are those of the service account for SQL Server, not yours. And the service account is unlikely to have access to Sharepoint.
Overall, I can't say that I am fond of solutions where you write to disk from SQL Server. It is much better in my opinion to use a client-side program for the task. That could be PowerShell, C# or whatever you like. This will save you from the limitations you are running into now.