This is not a bug, but a limitation with Windows. File path must be less than 256 characters (ish). Search the forum for many discussions of this. Solutions: shorten NZB name, use short folder names in drive root, etc etc.
Maximum Path Length Limitation
In the Windows API (with some exceptions discussed in the following paragraphs), the maximum length for a path is MAX_PATH, which is defined as 260 characters. A local path is structured in the following order: drive letter, colon, backslash, name components separated by backslashes, and a terminating null character. For example, the maximum path on drive D is "D:\<some 256-character path string><NUL>" where "<NUL>" represents the invisible terminating null character for the current system codepage. (The characters < > are used here for visual clarity and cannot be part of a valid path string.)
http://msdn.microsoft.com/en-us/library/aa365247%28VS.85%29.aspx