When Endpoint Block action is triggered, the pop up includes instructions on the file being saved at the "c:\users\username\My Recovered Files" location. The location specified is not an intended location and it needs to be changed. This is specific to Symantec Data Loss Prevention, Endpoint Prevent when a Policy is using Endpoint Block as a response rule.
This folder path shown in the Endpoint Block pop-up is defined under the System > Agent > Agent Configuration > "Configuration Name" > Agent Configuration tab and under the File Recovery Area Location section.