Code as indicated does not work for me either.
By adding a c:\mssql folder (did not have one on my system) AND changing the the data file folder to c:\mssql, it works.
Create Database Mytestdb
on
(
name ='Mytest_1',
Filename= 'C:\mssql\MyTEST.mp3',
size = 5000 KB
)
log on
(
name ='MyTest_2',
Filename= 'C:\mssql\MYTEST.doc',
size= 512 kb
)
But the code as written in the question will not work.