I cant save my mod

Hello , im a new modder and i cant get the CS to save anything. I will load the Oblivion.esm and then, for example i will use the my first script mod and when im finished with the it, i will go to save it and a warning will pop up that says:

    CreateFile('Data\helloworld.esp') in CreateTES failed with error: The      system cannot find the file specified. 

i will then click YES to continue playing and this will pop up:

     Unable to complete operation due to failureremoving previous file. Temp file remains.  

again i will click YES to continue playing and now this will pop up:

    CreateTES failed for file 'helloworld.esp'.Save aborted.

Please if anyoe knows whats wrong HHHHEEEELLLLPPPP!CHNisme 21:23, 27 November 2007 (EST)