Since you are using PROC EXPORT the file does not have to exist before the PROC runs. The PROC will write it.
If you are using some interface to run your SAS code, like SAS/Studio, then the path has to one that is valid on the machine where SAS itself is running. You can check the properties of an existing file in your HOME folder and see how the path should be specified. Yes you can copy and paste the path as displayed by the properties tab in SAS/studio into your code to make sure you have typed it correctly.
... View more