I've checked, and the file doesn't already exist. I'm pretty sure it's an issue with naming the file with a ":" in the file extension.

I just checked McAfee On-Access scan statistics, and it doesn't show any file actions blocked. Using Windows Explorer I was able to create a file with the extension ".mdf:MSSQL"...

I don't believe it's a permission issue; the database is using that path for user databases, and snapshots can be created in the path as long as the file extension...