Out of curiosity, what version of MediaLab are you using?
What's the exact path that you're referencing for the location where data is output? (ie. C:\My Documents)
This issue could be arising for a variety of reasons. A few likely culprits could be your permissions, the file being already opened, or the path may just be inaccessible.
It doesn't quite make sense that the headers were written, but the data is not being written.
Are you running the software on Vista?
Let us know - I'm sure we can figure out what's going wrong here.