Blender 2.5 Beta (2.53.0 r30581) Both on Windows and Linux

Steps to recreate.

1. Simply attach a static environment texture to any object.
2. Render scene. This correctly generates the map for first render.
3. Goto texture and select save environment map (bpy.ops.texture.envmap_save())
No matter where or what you call the file it will not save
Error returned is "//filename.png: no such file or directory

You can do this on the default blender file...so none attached.