Yes, I'm seeing this problem now as well. It seems there's something strange going on with the Device Emulator not being perfectly compatible with writes here, however still working with writes in many other cases. I could successfully rename files on the shared storage card, for example.
Hmm, sucks a bit for me because due to another bug, Visual Studio 2006 can't deploy things to the real device since a while back, always stalling at:
------ Deploy started: Project: ..., Configuration: Debug Pocket PC 2003 (ARMV4) ------
An operation was attempted on something that is not a socket
I haven't been able to resolve that error even after re-installing ActiveSync, Visual Studio 2005, and doing a hard reset on the device. :-(
So I was using the emulator to circumvent when I now stumbled upon this one. :-p