Nick Gravelyn:To reiterate what the ZMan said, it's not that the API doesn't exist, it's that you cannot just access the file system like you can in Windows. The Xbox requires you to use the storage APIs to find the proper directory or file and then you can use System.IO with a StreamWriter or whatever to actually write the data.
The real issue is that there is no "current directory" on Xbox 360. On the desktop, you are used to accessing files using relative paths -- relative to the current directory. On Xbox 360, there is no current directory, so all paths must be specified as absolute paths. It's the same thing as Windows Mobile, if you've ever programmed for that.
Specifying a path like "file.txt" is meaningless when you have no notion of a current directory because you haven't told the OS where to find the file, or even what drive (storage device) it's on.
We aren't protecting you from anything; it's just how the file system works. Lots of file systems work this way -- but for people who are used to having a current directory in Windows XP and Windows Vista (and their predecessors), it's a bit unusual at first.