Hello Karine,
I just tried running that report on some items and then saving it and it seemed to work for me. Is it while trying to save the report, after running it, that you get the error message?
Could I ask whether you are using a Mac with Safari. Recent versions of Safari now have a default setting of running Silverlight in 'Sandbox' mode. This mode restricts plugins such as Silverlight from doing certain things that can include allowing it to access to your file system. You can adjust this setting in Safari's Preferences to take Silverlight out of Sandbox mode.
If you go to Safari preferences, Security and click on Manage Website Settings you can then select Silverlight and tell it to 'Allow' Silverlight to run in, what they are calling, unsafe mode. In the past Silverlight was allowed, by default, to run in this mode but at some point Apple changed this setting. Making this change should allow Silverlight access to your file system so it can save the report. Firefox does not suffer from this so if you can try saving the report when running Firefox then that is probably the problem.
Could you try that and let us know if that fixes the problem.
Best regards,
Jeff