Are you using Vista? If so you need to run the IDE with admin privledges. The compiler wants to create some temporary files(sys.mac being one of them) and Vista won’t let it if it’s run as a normal user. May also be true on XP with certain security settings set.
Note, BasicMicro Studio when it’s released doesn’t have this problem anymore. All temporary files will now be created in the appdata folder liek Vista wants it.