I searched a lot, but no one has a problem like this. An idea pop into my head; it was Turkish characters in my user name. There is one Turkish special character which is "Ğ", and I tried save as on C drive directly. And it happend. So only problem is special character.
Thank you for posting your solution to your own problem. This will help others who have a similar problem and search the forums for solutions. Many people aren't thoughtful enough to take the time.