Works fine for me. I do see a way that might be giving you this error though. Are you trying to make your new environment in a non-existing directory? If you enter C:\WINDOWS\Desktop\TEST for the directory and TEST for the name, then it will give you that error because the directory TEST is non-existant.

However, if you enter C:\WINDOWS\Desktop as the directory and TEST as the name it will automagically create a folder named TEST.

So, basically if you want a project in C:\Program Files\BYOND\George then enter C:\Program Files\BYOND for the directory portion and George for the name potion.

I tried explaining that the best I could... I hope it helps.