This error has nothing to do with Mail.dll.
Your application must have enough permissions to create a file in the
specified location.
Make sure that you are escaping path separator ('\') correctly (for example by using using '@' character at the string beginning):
attachment.Save(@"c:\path\file.dat");
Make also sure that you are specification attachment's file name in the path. You can use MimeData.SafeFileName for that:
attachment.Save(Path.Combine(@"c:\path\", attachment.SafeFileName));