> My query is that when I launch the application from my local machine, from where does it consume memory
You access the remote executable: your box loads the remote file and it is then run locally consuming of course local memory and other resources (files, network etc.)
Having shared a network drive does not imply the executables can be run in the context of the sharing computer. The sharing computer might even have been a Linux box using samba - in this case it is not able to run a Windows executable at all (well not without "wine" or the like).
That java,exe might even not be runnable on the remote box due to version difference or 32 vs 64 bit issues even if it is also a Windows one.
Sharing a drive does not entitle external parties to run programs in the context of the sharing computer.