If you've been using trying to get the FritzBox VPN client to work lately and have been getting the above error. It is probably caused by a missing folder on your machine. In my case I was missing the folder "FRITZ!Fernzugang" which is found in the following directory on my machine "C:\ProgramData\AVM"
It seem the Fritz!Box tries to save a file to that directory but doesn't check if it exists or even tries to create the folder of it doesn't exist. I had this problem with the 64bit version of the client for Windows 7. I am guessing it may only be a problem on that version.
You can see more of whats going on if you check the following folder C:\Program Files\FRITZ!VPN\logs there is a files named nwtsrv.log which will give you a lot more detail on what's happening.
If you have been having errors importing the configuration for a VPN into the Fritz!Box itself trying exporting the file encrypted first for some reason it doesn't seem to like an unencrypted file.