Some paths to check in general:
- preferences > general > paths > default render path
- preferences > general > paths > default recording path
- file > project settings > media tab > path to save media files
- file > project settings > media tab > secondary recording path
If you already have a directory path set there, double-check if this directory actually exists on the hard drive.
Otherwise:
- Have you already saved the project (to an existing directory) before recording?
- Is enough free hard drive space left?
- Do you perhaps have an anti-virus software running in the background which might be blocking Reaper?