The Network Location Server (NLS) is an additional server, separate from UAG, which you will have to configure for DA. The function of the NLS is to allow your client computers to detect whether they are inside your organizational network or outside of it and, according to this, activate the DA connection. When an event triggers it (such as a reboot, or the network getting disconnected and reconnected), the computer tries to contact the designated NLS. If the connection is "successful", the computer determines that it is inside the organizational network, and DA stays off. If it is not accessible or the connection fails in some other way (more about that soon), then the client thinks it's on the internet, and enables DA.
The NLS is not that special—just some website listening for incoming HTTPS connections. You can use pretty much any plain old IIS server for that. All you have to do is setup a local HTTPS site, listening on some hostname to your liking, and with...