Just a guess...
Brief Background
Arduino expects all Sketches to be in the "Sketchbook location". This is just a directory on your computer. I have no idea where the default location is. You can determine the current location by...
- Start Arduino
- Click the menu item File then Preferences (or press Ctrl , [Control Key + Comma])
- Look for "Sketchbook location" in the middle of the dialog box
Things to Check
- Does the Sketchbook location exist?
- Is the directory (and subdirectories) read / write from the account you use to run the Arduino IDE?
- Are there any files in the directory?
If you find a solution to the problem, please report back.