This happens when world machine is unable to create a directory, even in the user folder where you have access. Create the folder for macros first using windows explorer, then point to the path within world machine dialogue.
World Machine prefers to have a macro folder NOT in the Program Files directory. This is because the Program Files folder is a system-protected location, and you will be unable to write or change any macros if it resides in that folder. This is the reason that WM asks to create a user's folder for you when you first started up.
Go to Preferences->Paths and make sure that the macro storage path is the directory you expect -- if you click open, it should show you the folder you posted in your screenshot. I recommend putting your macros in a user folder somewhere that WM will have full access to.
So I have copied all the .Dev files for my macros to the macro folder in my WM program files. However I am unable to see any of the macros in the library and I cannot load them into my projects device view to utilize them. What am I doing wrong? What do I need to do. Here is a screenshot of my macros in the folder and my empty library. http://imgur.com/zRKk0GL