tab in the Settings window:

If the checkbox is clear, please mark it. By default the log files with names like Year-Month-Date-WinProxy_Access.log will be created in WinProxy working directory, but you can change the location by specifying a new path in the field (please be careful - you cannot specify a nonexistent directory here).
If ProxyInspector and WinProxy are installed on the same computer, no other settings are required. If they are installed on different computers within your LAN, please select the menu item and click on the tab:

mark the checkbox and enter the UNC path to the directory with log files on a remote computer. Read-only access will let you import the log files data into the database, but if you want to manage the log files using option, you will need the permission to delete files.