There are pretty much only three locations execVM looks in:
1. In the mission folder
2. In the arma 2\scripts folder
3. In the arma 2 folder
or any subfolder of those three
And when it says "mission folder" it means the mission that is running on the server. You can execute scripts that are already in the mission file on the server if you know their names. All mission files of all the servers you join are saved in C:\Users\YourName\AppData\Local\ArmA 2 OA\MPMissionsCache. You need a pbo extractor to view their contents. From there you can get their names and execute them from your client while on the server. This is useful for servers that put things like antihack in their mission pbo (if they are dumb) or spawn bike, spawn crate, safezone, etc. scripts in there. And with execVM you can pass arguments to the scripts you are running to make them behave differently than intended.