A slave needs to have a directory dedicated to Jenkins. Specify the absolute path of this work directory on the slave, such as '/var/jenkins' or 'c:\jenkins'. This should be a path local to the slave machine. Typically, there's no need for this path to be visible from the master.

Slaves do not maintain important data (other than active workspaces of projects last built on them), so you can possibly set the slave workspace to a temporary directory if it is ok to lose the latest workspace when the slave is turned off.