Failure creating output file: (OGR error: file location not a directory)

I am using the MMQGIS plugin to join sets of data on QGIS. I have been failing to do this for days on account of the output file location being rejected.
This error message appears:
Failure creating output file: Creation of data source failed (OGR error: C:Userscavca-adminDocumentsimd.shp is not a directory.)

It obviously suggests that I need to be choosing a directory as the output file location but I am unable to do this because it isn’t valid. I have tried saving all relevant files in the one directory and choosing a range of file locations but nothing has worked.