Could not find a part of the path on windows azure
You shouldn't be doing this in a Windows Azure application. In Windows Azure you should use LocalResources (reserved space on a dedicated disk) for saving temp files on the disk, this is the only place where you should store data.
Here is an example of how you would access such a LocalResource (name and size can be configured in the VS project):
LocalResource localResource = RoleEnvironment.GetLocalResource("DownloadedTemplates");Don't forget that data in LocalResources might disappear (when the machine crashes for example). If you really want to persist your data, you should be using Windows Azure Blob Storage.