because two user share our data another, it's share folder exist on there local system
Are both user account in domain? Then I'd share the folders on the server regardless of how they want to share it. Desktops are desktops, not file servers.
+1 for this. If you are trying to keep things private set up a share just for these two, set permissions so others can't see it. Then your data is on the server where it belongs, getting backed up as it should.
