Using a domain environment UAC is on
Is there a way to enable users to create file shares without needing elevated permissions?
You can pre-enable network shares, and create a shared directory for each user in advance. I'd advise doing it the classic FTP way of their share being read-only, and create a directory within this directory called "Incoming" or something similar, with unversal write-access. This way they their shared files are protected but are still able to have others upload files to them when needed.