Folders can be anywhere but you need to add them as a shared folder in VirtualBox and then reference as
/folders/myshortcuts/sharedfoldername
One way to find the path is add them to shared folder in VBox then navigate to folder under SERVERS FILES AND FOLDERS pane in SAS UE. If you right click folder and select properties you'll see the path.
You may need to restart your VM to see your shared folders after adding them to VBox.
There are some known problems with using folders on the desktop and/or directly under c:\