I had this problem and solved it. The problem occurred in my case happeed after you first installed the MCR on a machine when you run up a first .Net Web App running in IIS that invokes a NE Builder built assembly that invokes a Matlab Script. Thus invoking the MCR.
The problem is related to the Windows security. When your Web App is running in IIS, it is running in IIS_IUSRS account and that have very limited rights to access the file system. For some strange reason I have yet to work out, MCR attempts to insist on accessing some System folders with more rights than needed and attempts to create folders for the MCR version (it does not write anything in it, just needing it to exist).
The error that you'VE received is actually caused by Java Code that threw an exception and you can get this message in the IIS error message log.
The way we got over this is to run ProcessMonitor from http://www.sysinternals.com and watch out for error like "Access Denied" and that gives you pointers to areas where it tried to access the file system with more rights than needed. Once you have determined that area, grant IIS_IUSRS or "Network Service" account access rights to that.
The areas where you need to relax depends on which IIS you use. IIS5 is different from IIS6 and IIS7.
Be patient to scan the log of Process Explorer and the answer is there.
Hope this help and prompt Matlab developers to have a good look at this strange problem. Once relaxed MCR works fine. At the moment, I do not have the precise information with my laptop but it was at work.