Outlook script permission error

When I try to run the following script, I get the error: "Cannot save the
attachment. You don't have appropriate permission to perform this operation."

Sub SavePhotoAttachmentViaPhotoAddress(Item As Outlook.MailItem)
Dim SaveDir As String
Dim i As Integer
SaveDir = "C:\Users\Jay\Pictures\OutlookPhotoAttachments "

For i = 1 To Item.Attachments.Count
Item.Attachments.Item(i).SaveAsFile (SaveDir)
Next i
End Sub

I'm logged in as Admin, I set Macro permissions in Outlook to allow scripts
to run, and I gave Everyone Full permissions on that photo directory.

I'm running Vista and Office 2007.

Ideas?

Thanks,
Jay