In ISA Server 2004, you could create a Firewall Client share through the setup program. The ability to create a share has been removed from the setup program in ISA server 2006. This was done to discourage the creation of a shared directory on the ISA server computer, which is considered a poor security practice. This also allows more efficient updating of the Firewall Client software.

You can still create a share, of course, but you have to do it manually. You can also use other methods to distribute and install the Firewall Client software, such as a logon script, Microsoft Systems Management Software, or Group Policy.
 
More information is available in the document How to Distribute Firewall Client Software for ISA Server
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Nathan Bigman, ISA Server User Education