I had the same problem with an NZB generated within alt.binz. I checked the path, and sure enough the filenames were longer than 255 characters due to the excessively long NZB folder name.
NZBs usually have very long names, and they get even longer if you select more than one file to download at once. My suggestion is to create a folder based on the NZB filename rather than the full name of the NZB, i.e. the filename you get if you download an NZB from a web browser. I hope that makes sense!