This error can occur right after starting downloads.

Troubleshooting guide:

1. Check the download-target
   Make sure that the path used really exists. If your target is e.g. a removable USB drive, make ure it is still plugged in.
   Chances are also that the drives' letter has changed and differs from the one it initially had when you set your download directory in JD.
2. Check the filename/path for length and invalid characters
   Some OS have path/filename length limitations and character limitations (especially Windows) and/or are case-sensitive (Linux).
   You can easily check this by choosing a "safe" path like "C:\Users\testUser\Downloads\" and renaming your failing item in JDownloader to a simple and short name.
   If the error disappears, it was most likely due to a too long path and/or forbidden characters within path/filename.
   You can auto-shorten long filenames using Packagizer rule(s).
3. If you are running JD on Synology hardware, you may have set a path going to your system partition - select a working path as described here (scroll down).

Hint for Windows users:
If your issue was caused by a "too long" path, you can remove the path length limit.
Please keep in mind that this may have unwanted side-effects e.g. errors when trying to import such files into media editing software.
Also, you will run into issues if you copy files/folders with long paths from a Windows machine without path limit to another one with path limit!
Last but not least you could always switch to an operating system that doesn't come with path length limits.