FWIW, I have exactly the same problem, but with Sony Vegas Pro 11. PLEASE report your issue to Sony support using their online form here:

https://www.custcenter.com/app/ask

My own issue is logged as support ticket 111106-000021. Here's the description I provided to Sony (and they've not been able to yet provide me with any information that helped resolve the problem):

I have searched the forum for similar problems, but don't see any reported. In Sony Vegas Pro 11 (both 32-bit and 64-bit versions, both the "original" builds and the new 424/425 builds) I can't actually render any video.

When I select File > Render As... I am immediately presented with an error dialog that says:

"An error occurred while creating the media file .
Exception thrown by method called "

Yes, there's a space between "file" and the "." The dialog won't even report the error correctly. Funky. Similarly, there's no data after "method called ".

Oddly, I find that other "render" functions (that do not rely on the dialog in question) *do* work. For example, I can "real time render" to a wav file and the "Upload to YouTube" option (which renders and uploads without exposing the Render As dialog) both work.

Of course, any rendering that relies on showing the Render As dialog fails. So, for example, I *can't* do a Tools > Render to New Track, either. But I get a different error message when selecting that option. Vegas reports:

"An error occurred during the current operation.
Error 0x80131501 (message missing)"

To try to solve this issue, I uninstalled all versions of Vegas and did a fresh install of version 11 (the updated 424 build) and still see this behavior. I guess my system is missing something that the new funky Render As dialog expects to find?

Of course, this happens on my main editing machine while I do not see this behavior on other machines like my laptops.

Welcome any solutions you may have! I miss my Vegas...

Thanks and Best Regards,
Keith