For temporary files, try tools -> options -> application options -> virtual memory -> spill file. The error message you're seeing may not indicate what the real problem was, just that there's a bug or something somewhere.
A couple more suggestions.
Try searching the slick macro source files for "error creating directory entry". I think there's only two, both in fileman.e - but they don't seem to fit what you're seeing. Sometimes slick patches text strings together to make a message and searching for "error creating directory" finds a few more things. If you can find one that fits what you're seeing, you can add a call to _StackDump(0) just before the code that outputs the error message - to get an idea of what slick was doing at the time. If the first argument is one the output goes to a log file in your config folder, zero goes to the screen. If you modify a slick source file, you can load it using the load module command on the macro menu. I couldn't find "error creating directory entry" in vs.exe.
Another thing you can try is use ProcMon from sysinternals (Microsoft). Filter on vs.exe. When you see the problem, stop logging in procmon. On the ProcMon tools menu, click "file summary", then in the dialog that comes up, select the "by folder" tab and you'll see all the folders that slick has been accessing, select the "by extension" tab also.