The green connected means that the Message Server is connected. You can only run this on the server.
Check of you have not enabled this on the client.
Message Server has nothing to do with the SQL Server connection or your network.
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No @Raphael9630 you do not need to share any directories.
I would switch to SQL authentication as it will use secure routing through TCPIP and user accounts within SQL Express. So I guess in parts you have not followed as I have highlighted above as I really struggled with Windows Authenticationā¦
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Thanks so much @Peter_Cijsouw and @pauln, Now the client can see the server, I was able to successfully switch to SQL authentication mode and it just did the magic!. thanks