@newt: despite the shortcomings of our documentation I don't think your original reply was at all helpful. Your reply basically amounts to "give up and go somewhere else". Please stick to answering the question in the thread!
Anyways, try turning off your antivirus just while you export - it may see a new EXE file being generated and block its creation for security reasons.
Also, make sure you're exporting to a folder you have permission to access. For example, if you're not an administrator, exporting your game to the root C:\ may fail, because it's access is protected. Try exporting to 'my documents'.