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.
Nathan Bigman, ISA Server User Education