To use the bulkapi (even the pkchunk variant for those tables where Salesforce supports it) you will need to have a Work Directory set up for DBAmp.
How to do that depends on your version. If you have version 22 or later, you can set up the Work Directory in the DBAmp Configuration Program, in the Settings dialog under the Configuration menu. The Work Directory is in the Properties section there.
If you have an older version (that would look like v5.1.9, for example), you also need to go to the DBAmp Configuration Program, and there you can find it in the Options dialog under the Configuration menu.
In both cases, make sure to choose a folder on your local drive that your SQL Server instance has read/write access to!
