SQL Server : Trace won't create file

I'm trying to start using SQL Trace and I am running into "Access Denied" errors when using the following:

exec @rc = sp_trace_create @TraceID output, 0, N'C:\Users\USER$\Desktop\SQLTrace', @maxfilesize, NULL 

if (@rc != 0) goto error

I have tried UNC path and local, I am using an admin account to login to Mgmt Studio, what component am I missing? I have tried saving locally and to a remote client.