I had the same issue. I have solved it by editing registry keys which define where some user profile folders (documents, desktop) are located.
I guess the reason of the problem is that Microsoft OneDrive once activated changes these folders location from i.e. %user_profole%\Documents to %user_profole%\OneDrive\Documents which can become a big surprise for every application which expects to find these folders at their native location.
My steps were as follows:
1) uninstall OneDrive (you can skip this step if you need this stuff by turning off synchronization of your profile with the cloud)
2) search in the internet the registry path of keys which define the location of user profile folders. It's somewhere in currentuser branch.
3) change the key values (remove '\OneDrive'), move your folders from OneDrive folder to your profile folder
4) reboot
5) start your game and enjoy