A few months old thread probably solved by the OP, but here is the solution for those like myself who googled themself here:
Autodesk - Autodesk 3ds Max Services & Support - Error message when using Hair and Fur modifier
If you are using Vista, and already logged in as a user with all privilegies:
1. Right-click on your 3dsmax folder ("C:\Program Files\Autodesk\3ds Max 9") and choose properties.
2. Open the tab "Security".
3. Press the button "...Edit"
4. Select the usergroup "Users".
5. Make sure the checkbox besides "Write" and below "Allow" is checked.
6. Press OK and the "Error creating file" error should no longer trouble you.