Create Folder o Save in Temp

Question

I have Visual Studio 11 (Windows 8 Developer) i have create a downloader file:

string sUrlToReadFileFrom = "http://mysite/1.mp3";
int iLastIndex = sUrlToReadFileFrom.LastIndexOf('/');
string sDownloadFileName = sUrlToReadFileFrom.Substring(iLastIndex + 1, (sUrlToReadFileFrom.Length - iLastIndex - 1));
client.DownloadProgressChanged += new DownloadProgressChangedEventHandler(client_DownloadProgressChanged);
client.DownloadFileCompleted += new AsyncCompletedEventHandler(client_DownloadFileCompleted);
client.DownloadFileAsync(new Uri("http://mysite/1.mp3"), "C:\\Windows\\Temp" + "\\" + sDownloadFileName);

But it doesn't work start! If I change the folder "C:\Windows\Temp" in "E:\Temp" the download start. The drive C:\ doesn't work, why? It is possible save in temp folder or you've other idea?