Interesting.
Is the folder created by the application or are you manually creating it?
If you are creating the folder yourself, I found that since I've been burned in the past by these kind of things, I avoid oddball characters and spaces when naming folders.
I would name your folder the following way:
"P:\Program Files\AnalystsNotebook6"
...and don't forget to add the quotes, when possible.
Good catch, though. Definitely looks like a bug to me.....