Using Emacs with ido mode enabled on Windows, Emacs tries to save a history file .ido.last when exiting. The file is located in C:/.ido.last, but it fails with a permission denied message. This is strange since I actually have access to that folder. However:
Is there a command to change the directory where the .ido.last file gets saved?
Short answer: (setq ido-save-directory-list-file "/some/file/name").
Long answer:
I keep all the little files that remember Emacs's state in a single directory under the user-emacs-directory. I'm not sure what this is on Windows, but I think it's C:\Users\<username>\Application Data\.emacs.d\. On Unix, it's ~/.emacs.d/. The variable user-emacs-directory should be defined by Emacs, no need to set it.
(setq emacs-persistence-directory (concat user-emacs-directory "persistence/"))
(unless (file-exists-p emacs-persistence-directory)
(make-directory emacs-persistence-directory t))
(setq ido-save-directory-list-file (concat emacs-persistence-directory
"ido-last"))
You may want to look at the no-littering package, which sets better default locations for files like this.