This sounds kind of like a permissions issue, although why you wouldn't have permission to your documents folder I don't know. Are you runnning from BIDS or deployed and running from a server?

As a general matter of practice I would not recommend using your documents folder for files. When the package is deployed to a server, the server will not be able to find files on your local drive. I would suggest using a file share where permissions are not really an issue. Also I would recommend using UNC path names rather than letter path names such as \\servername\filepath rather than f:\FilePath because not all servers have the same drive mapping as your PC.