Well, what is the location when you start the new project?
Looks to me that the error what you get is all about the directory that VS wants to save it to.
So if VS wants to save it to your E-drive, what's the directory it want's to save it to? And can you browse to that directory? I mean if the direcotory is for example E:\Projects\My Game\ is that available on you drive?
Saving the solution is all about directory stucture and if you can browse to a directory in the explorer then VS should be able to save a solution to that place...