Screenshot:

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 and the resulting download paths using Packagizer rule(s).
3. Check for long filename resulting in long path due to enabled setting "Subfolder by packagename".
   If the name of your added file is very long and you got "Subfolder by packagename" active, that can make your download path even longer.
   It may help to disable the mentioned setting and remove- and re-add all files which you were unable to download.
4. If you're 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).
5. If you're running JD on Linux and have installed it via community package stores Snap or Flatpak you probably ran into a permission issue as both are limiting folder access.
   Check your config accordingly or install JDownloader without a container.
   The following command can be used to allow access to removable media: sudo snap connect jdownloader2:removable-media
6. Also as a normal Linux user you most likely ran into a permission issue as there are no relevant path length limitations under Linux.
   Make sure that JDownloader has the permissions to write to the assigned download-destination and try again.