If I want to set up a smallish Mercurial repository for some internal work among a few developers, can I just navigate to a network share and create a repository there, and then just clone that down locally? Or do I need to set up a server (I know, it's easy to do).
This is Windows by the way.
Specifically, I'm wondering if there will be concurrency issues, like abandoned transactions, etc. if multiple users work push/pull simultaneously.
There's no reason I can think of why you wouldn't be able to do so. I do something similar, only I don't use CIFS, but ssh to access the files. No server setup to speak of in either case.
The only thing that came to mind as a possible problem was concurrent access, but you can see for yourself that Mercurial takes care not to allow users to step on each other's toes.
So long as folks are interacting with the repo using only 'clone', 'push', and 'pull', you're in fine shape. What you can't do is have multiple people committing directly from a shared working directory. However, push, pull, and clone are safe to use to a shared folder from a user's personal repository. All changes end up effectively atomic, and no aborted work should cause anyone any problems.
When creating that clone consider using clone -U so it's created without a working directory so folks aren't tempted to edit and commit there.