Jason Brimhall has some tips to help you use the file target in Extended Events:
This first little tip comes from a painful experience. It is common sense to only try and create files in a directory that exists, but sometimes that directory has to be different on different systems. Then comes a little copy and paste of the last code used that worked. You think you are golden but forgot that one little tweak for the directory to be used. Oops.
Read on to see how SQL Server exposes that error, and then Jason shows us a different how-not-to with file targets.