I don't understand at what point you are getting the warning or what steps are you getting this at? Can you further expand on the steps taken?
Where are you trying to save the image at? By default the image will need to be in the express share. If your GSS3 install is default the express share is c:\program files (x86)\altiris\express\deployment server\ If your image is not in this share it is ok but it will need to be on a share that is accesable to the PE environment that you are using. You will need to add an additional mapped drive to point to this additional share if your image is not in the default express share.
A video of how to create an image is below.
https://www.youtube.com/watch?v=uq4eVU57pnc&feature=youtu.be
I hope this is helpful steps to get moveing towards a resolution. If not if you can expand on what steps you are taking and where you image is maybe a more tailored answer could be provided.