Do you have the User Right to write in the targetted folder ?
Note for Windows:
In order to be able to create Symbolic Link you have to set the correct group policy, for this you can use the following:
Run gpedit.msc
Navigate to Computer configuration => Windows Settings => Security Settings =>Local Policies => User Rights Assignment => Create symbolic links
Here you can set which users can create symbolic links.
an another solution is to start your Visual as Administrator…