Use another path. It is always advisable NOT to store anything on drive C:
Use drive D: instead.

Thank you Jerzy! Actually I have no drive D: defined in my PC, and I fear the problem would not be solved, since Studio 2021 seems to add something in the path (two back slashes \\) and could possibly continue doing so in D:. Is there another possibility? 

Use an USB stick, this will give you an additional path. Then you can check the behavior. Studio does not add anything to the path specified by the user. There is no "default" path in Studio, you can place the files wherever you want.
To have a drive C:, use Windows 10 and partition your HDD. This will give you much more flexibility.

Yes, changing the path to E:\... for a try has worked, and project was successfully created. I'll make a HDD partition as you suggested. Thank you so much for helping me through.

Here is a description how to partition the HDD in Windows 7: https://support.microsoft.com/en-us/windows/create-and-format-a-hard-disk-partition-bbb8e185-1bda-ecd1-3465-c9728f7d7d2e

In Windows 10 just enter "Computer Management" in the search box and you can then continue like in Win7. It is a very easy and safe process. Please only remember to leave at least 50 GB of empty space on the C: partition, as otherwise you may get in trouble with running Windows.

thank you, Jerzy

HI, how do I change the path \\