Then this means you cannot write to the Audacity temporary directory specified at Edit > Preferences…, Directories section, or that a cleanup application is monitoring that directory and removing files as soon as they are written.
I suggest you upgrade to Audacity 2.1.2 from http://audacityteam.org/download/windows. The temporary directory will then default to a directory that cleanup applications should leave alone. You can also change that temporary directory in Directories Preferences to any other directory that you have permission to write to. Make sure you have sufficient space on the drive. 100 GB is a good guide if you want to do extensive editing.
Interesting. I have two accounts on this computer. I discovered later that Audacity works peoperly when launhed from the other account… So either the temporary directory is at a different location, or what ever is doing the cleanup is not working on that account.