Hi,
That is the correct file system path, its not the same as an url. The problem is that the /Data folder is not writable by the web process. Its trying to create the test file there to test if it has correct file permissions but it does not. You need to make the /Data folder and all its child folders and files writable by the web process. Sometimes in medium trust it is also needed to make the App_Data folder also writable.
Hope it helps,
Joe