Most Klokwork Team Console Users are publishing to a network location.
Please try pointing to a local folder instead of a network share so that we can determine if it is an issue writing the files over the network or not.
To change to a local location, open the console and click on the downward arrow to the right of the logo to open the options screen. Then click on the Connection Settings item in the menu. On the right, make sure you have the "File Share" option selected (the Klokwork Server option is only used with our forthcoming Klokwork Server product). Then enter a folder path in the box below. Something like C:\klokworktesting.
Then try publishing again.
If the you can publish the files correctly then this issues is likely a filer permissions problem.