How do I make OpenSSL write the RANDFILE on Windows Vista?

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When I run:

openssl genrsa -out mykey.key 2048

I get the following error:

unable to write 'random state'
    e is 65537 (0x10001)

My googling suggests this is some kind of Vista permissions issue. How can I allow Vista to write this file or how can I configure openssl to get round it?

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