Make sure that you are running the right bit version of SEAdmin i.e. 32-bit SEAdmin with 32-bit Solid Edge, 64-bit SEAdmin with 64-bit Solid Edge.
Not sure how you are trying to set the Solid Edge options file location i.e. by browsing to it but you can also cut and paste the file location into the preference as well. If hanging while browsing to the file location try cutting and pasting instead.
Remember the options.xml folder location should be a UNC path location.