Cannot Create a TableSpace on Windows XP Service Pack 2

Windows XP SP2 came with a lot of security patchs.
Something was changed on the way folders are managed, i don't know what.

Using pgAdmin III 1.2 RC2, when i want to create a Table Space with:
CREATE TABLESPACE "TestTS" LOCATION 'E:\\Proyecto2005\\Databases';
i have the following error:
ERROR: Could not set permissions on directory "E:/proyecto2005/Databases

User i currently has on WinXP belongs to administrators group, so i must not have problems creating folders or files anywhere.
Yesterday i've installed PostgreSQL 8 beta 5 without problems and i see two tablespaces pg_default and pg_global

Please, How can i do to solve this?
I need to test PostgreSQL 8 beta 5

Thank you.
Jose Flores