Hi Gary,
You might need to update your directx drivers.
Can you check the directx driverse by doing the following:
To use the DirectX Diagnostic Tool to determine the version of DirectX that is installed on your computer, follow these steps:
1. Click Start, and then click Run.
2. Type dxdiag, and then click OK.
3. On the System tab, note the version of DirectX displayed on the DirectX Version line.
I believe this feature requires DirectX Version 8.1 or newer. Let me know what version you are seeing.
The only other possibility that I can think of is that for some reason you don't have full access to the output folder, but if you can successfully analyze components, this seems unlikely.
In our office we tend to not use this feature any more and we have not removed it yet, but are considering it. There are several easy ways to get snapshots of the graphics. One is to get a third party tool specifically for taking snapshots. We use a tool called "Snagit" which has been really excellent. Another easy way is to press "Alt-PrtScn". This will take a snapshot of the entire screen and put it in your paste buffer. Then you can paste the snapshot into Word or MS Paint and crop it or do whatever you want with it.
Please let me know if this helps