The following error may be generated when executing a VBA macro through Tools > Run DLL Macros > Select Macro Name > Run:
Cannot find the [path\filename] file. Do you want to create a new file? [yes/no]
This may occur when there is insufficient permissions (unable to write) to the folder where the file is being created.
Nothing may appear to happen (may possibly creates an empty/blank file) when clicking "yes", and selecting "no" closes the message box.