It's a bit hard to see the contents of your image but it seems that this Dell gives you the option of "push" scanning a document to the Mac via SMB or FTP. With regards to SMB, Apple made changes to the SMB protocol in Lion and this in turn stopped many office devices from being able to scan using the SMB protocol. Some companies have since resolved this issue by updating firmware in the AIO to make it compatible. Maybe, based on the phone conversation you had with Dell, this is not the case with the model of Dell you have. But if you want to try, to scan from the Dell to the Lion Mac using SMB, you first need to enable the service in the Mac. In the Sharing pane of System Preferences, enable File Sharing and then click the Options button. By default the AFP protocol is enabled but you also need to enable the SMB (Windows) protocol. And in this pane you also need to enable the account that you will use on the Dell to authenticate to the Mac. With those settings enabled the last thing you may want to do on the Mac is create a folder that you want to scan to and add this to the Shared Folders section of File Sharing.
Now, on the Dell, the path to the shared folder is entered as
\\Mac-computer-name\shared-folder
Often, instead of using the Mac computer name, which is shown in the Sharing pane, it is better to use the IP address of the Mac. This is because scanning to a computer name requires the Dell to know what that computers IP address is, and this is usually the job of the master browser computer in a workgroup. The downside to this is that if the Mac changed IP address, then the scan from the Dell is not going to work.
With the path to the shared folder set, the next thing is to enter the account name as set in the Mac in that Options section of File Sharing and the corresponding password for that account.
If the Dell fails to scan using SMB then you can try FTP. But there is no setting in the File Sharing pane to enable FTP, like there was with previous OS X, so you need to use Terminal to enable FTP by typing the following.
sudo -s launchctl load -w /System/Library/LaunchDaemons/ftp.plist
Press Return and then you will be prompted to enter your Mac's admin password. Type this in and press Return. Now exit from Terminal.
With FTP enabled on the Mac the path you enter on the Dell is
IP_address/shared_folder (for example, 10.0.1.10\Scans)
Note there is no leading slashes like SMB and the slash in between slopes the other way.
Hope that is simple enough to follow. Please reply if you need more information.