Is there a document with specials instructions on how to use GRLoader from the desktop and not the server?
While it might be possible by copying the required files to a desktop, this is not really a supported use case so we don't have any official documentation for this. I found this communities post where someone was able to get the correct files and they state it works, so please give that a try and see:
CA SDM: GRLoader - Everthing you need to know - Loading Configuration Item
You could try to map a drive to the path where the GRLoader utility in located and try it execute that way.
Run GRLoader from a Remote MDR - CA Service Management - 17.1 - CA Technologies Documentation
This describes how to run grloader from a host where SDM (the document refers to it as CMDB) is not installed.
How to execute GRLoader from a remote system that - CA Knowledge
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