I downloaded GWX 3.0 tonight, via torrent, and I also get this error under Windows 7 x64 (build 7100). The file (or directory) doesn't exist, so there is nothing to remove.
I have checked that c:\temp (my global temp area) has 'all users' with 'full control', so I don't think it's a permissions problem.
Cheers,
Andy
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Andy 
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