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Check any temp folders to see if they are there. Are you given an option to point export files too? If so, what location you have it pointed to?
Be sure that your Windows Explorer is set up to not hid any file types on the desktop...
How about to a folder on the root of C: drive on the PC: C:\video as a test.
No other known fixes?
Thanks Ill give it a shot. IE as Administrator worked for me as well but thats a pain in the @ss, I wish it just worked like it did before