You mean "Save file as" or "Build"? If I try "Save file as" it saves my file in my folder. What happen when I use "Build" You can see in this photo : http://i.imgur.com/X5ul5R6.png
In the image the filename has an asterisk in front which usually means the file has been modified but not saved so I just thought that maybe the file have not been created at all but if that is not the case I don't know. I must say the error message is not very helpful, unfortunately.