Are you using MyGeneration 1.2 or 1.3?
These issues almost invariably turn out to be related to Vista's user restrictions. Have you tried setting the output location to a folder "My Documents", rather than under "Program Files"? I think some have even copied the \Templates folder to "My Documents", and changed the default template location in MyGeneration's Default Settings.
David Neal Parsons
www.entityspaces.net