This *may* indicate you don't have full read/write access to the folder containing your experiment and so ML might be able to read and execute the experiment but not create any new folders or files. Is your experiment located on the local hard drive (e.g., C:\)? Also, can you manually create a new folder with the folder that contains your files?

PS., Not entirely clear on what you meant by:
No data folders are created (by variable, etc) and I get are sps, sav, csv and txt files in the same folder.