Long shot here maybe, but I've had the same message for a few reasons...
First, sometimes StudioMDL will decompile where MDLDecompiler will not...
Often I'll have to switch, or just use both.
The other thing, like you say is that both of those programs will have a wee moan if the destination folder does not already exist, so try making them as it complains, and re-trying.
I wrote a wee article covering some of the errors you might find here (Step 3):
http://sicklebrick.com/?p=59
Maybe it'll help, maybe not 
Long shot here maybe, but I've had the same message for a few reasons...
First, sometimes StudioMDL will decompile where MDLDecompiler will not...
Often I'll have to switch, or just use both.
The other thing, like you say is that both of those programs will have a wee moan if the destination folder does not already exist, so try making them as it complains, and re-trying.
I wrote a wee article covering some of the errors you might find here (Step 3):
http://sicklebrick.com/?p=59
Maybe it'll help, maybe not 