Use of TEXMFOUTPUT on Windows

Hi,

I'm trying to use TEXMFOUTPUT to enable me to write this sort of thing in
my LaTeX document, and it not complain about not being able to write the
file:

  \begin{document}

  \section{A section}
  Some text in a section

  \newwrite\tempfile
  \immediate\openout\tempfile=C:/docs/test.tex
  \immediate\write\tempfile{Some text}
  \immediate\closeout\tempfile

  \end{document}

At the moment I get this error:

  ! I can't write on file `C:/docs/test.tex'

kpsewhich tells me that TEXMFOUTPUT is set to what I think it is:

  >kpsewhich --var-value=TEXMFOUTPUT
  C:/docs

If I remove the path in my document like this:

  \begin{document}

  \section{A section}
  Some text in a section

  \newwrite\tempfile
  \immediate\openout\tempfile=test.tex
  \immediate\write\tempfile{Some text}
  \immediate\closeout\tempfile

  \end{document}

And specify the output directory to pdflatex:

  >pdflatex -output-directory %TEXMFOUTPUT% doc.tex

then the test.tex fle is created where I want.  However, I'm using LyX, and
don't want to specify the output directory like this since it then puts all
files in that directory, but I actually just want my explicitly written
files from the LaTeX document in that directory, so I'd like to be able to
use TEXMFOUTPUT as I think it is supposed to work.

I've tried this in a Unix system, and it works as I expect.

Any thoughts as to why TEXMFOUTPUT isn't allowing me to write files into
the directory so specified?

Many thanks in advance,

Steve
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