Ok,
just an update on my last post because the problem is not entirely resolved (that would have been too easy). Nevertheless, after further investigations the problem falls squarely on the shoulders of Windows.
Apparently, Windows occasionally goes haywire and insists on setting folder attributes under C:/ to "read-only". You can remove this attribute for a short moment but in my case it gets re-set quickly, so I cannot run Monte Carlo or Fanal calculations at the moment (because it cannot write-out).
I saw this behavior occur with a couple of new Windows installations (Mac Users getting Windows for PFE for the first time) but apparently it can also show up after Windows updates (check the internet, many people with this problem).
At this point, I will go the brute force way and do a complete re-installation on my system (because I have only one Windows partition to begin with) and hope for the best. May you all be spared from this problem.