That sounds like a permissions issue with the folder where you're trying to put the text files. We're doing something similar and we have a shared folder set up with permissions for the SQL Server agent account to be able to write to that directory. Actually, the network admin has the permissions set to allow everyone to write to the folder, which it probably shouldn't be set to...

Anyway, take a look at the permissions on that folder. Try changing the permissions to give everyone full control to see if that fixes the problem. If it does, you can dial the permissions back to just the SQL Server account. If it doesn't, then it's not a permissions issue on that folder.