This seem to be a bug. From Vim E303: Unable to open swap file for "[No Name]", recovery impossible, I should add this to
To clarify the location of files and directories, which aren't immediately obvious, here is another solution.
Make the following directories (e.g., from a command prompt):
C:\Users\User.Name, where "User.Name" is your Windows user name.
Then copy the following into
Save the file and the error should go away.