You can use a location based tagging rule to tag files copied or saved to \\server\sharename\ from the client (Win XP or 7). This would not require the server running DLPE.
Thanks for the help. What is the best way to discover and tag existing files on the server? Install DLPE on it?
You can install on the server but keep the following in mind:
Device control only is supported on server environments for 9.2 and below. DLPE 9.3 now supports full data loss features.