I had previously modeled the Yahoo UDF VDB which contains a Web service. I right-clicked the VDB > Modeling > Create JBossWS CXF War. When I went to locate the file, I couldn't locate it or the directory in which it was to be created. Selecting alternate, existing directories also did not work as anticipated.

Finally, I noticed I had been receiving errors in the Designer's message log:
Error 2010-08-16 09:19:53.163 An error occurred while creating WAR file, check log for detail
java.io.FileNotFoundException: The web lib directory, /home/pnittel/TDes71M1/eclipse/configuration/org.eclipse.osgi/bundles/869/1/.cp//war_resources, does not exist on the file system.
at org.teiid.designer.dqp.webservice.war.DefaultWebArchiveBuilderImpl.getWebLibDirectoryPath(DefaultWebArchiveBuilderImpl.java:524)
at org.teiid.designer.dqp.webservice.war.DefaultWebArchiveBuilderImpl.getWebFiles(DefaultWebArchiveBuilderImpl.java:372)
at org.teiid.designer.dqp.webservice.war.DefaultWebArchiveBuilderImpl.createWebArchive(DefaultWebArchiveBuilderImpl.java:222)
at org.teiid.designer.dqp.webservice.war.ui.wizards.WarDeploymentInfoDialog.execute(WarDeploymentInfoDialog.java:184)
at org.teiid.designer.dqp.webservice.war.ui.wizards.WarDeploymentInfoDialog$1.run(WarDeploymentInfoDialog.java:150)
at org.eclipse.jface.operation.ModalContext.runInCurrentThread(ModalContext.java:464)
at org.eclipse.jface.operation.ModalContext.run(ModalContext.java:372)
at org.eclipse.jface.dialogs.ProgressMonitorDialog.run(ProgressMonitorDialog.java:507)
at org.teiid.designer.dqp.webservice.war.ui.wizards.WarDeploymentInfoDialog.okPressed(WarDeploymentInfoDialog.java:159)
at org.eclipse.jface.dialogs.Dialog.buttonPressed(Dialog.java:472)
at org.eclipse.jface.dialogs.Dialog$2.widgetSelected(Dialog.java:624)
at org.eclipse.swt.widgets.TypedListener.handleEvent(TypedListener.java:228)
at org.eclipse.swt.widgets.EventTable.sendEvent(EventTable.java:84)
at org.eclipse.swt.widgets.Widget.sendEvent(Widget.java:1176)
at org.eclipse.swt.widgets.Display.runDeferredEvents(Display.java:3493)
at org.eclipse.swt.widgets.Display.readAndDispatch(Display.java:3112)
at org.eclipse.jface.window.Window.runEventLoop(Window.java:825)
at org.eclipse.jface.window.Window.open(Window.java:801)
at org.teiid.designer.runtime.ui.GenerateWarAction.run(GenerateWarAction.java:93)
at org.eclipse.jface.action.Action.runWithEvent(Action.java:498)
at org.eclipse.jface.action.ActionContributionItem.handleWidgetSelection(ActionContributionItem.java:584)
at org.eclipse.jface.action.ActionContributionItem.access$2(ActionContributionItem.java:501)
at org.eclipse.jface.action.ActionContributionItem$5.handleEvent(ActionContributionItem.java:411)
at org.eclipse.swt.widgets.EventTable.sendEvent(EventTable.java:84)
at org.eclipse.swt.widgets.Widget.sendEvent(Widget.java:1176)
at org.eclipse.swt.widgets.Display.runDeferredEvents(Display.java:3493)
at org.eclipse.swt.widgets.Display.readAndDispatch(Display.java:3112)
at org.eclipse.ui.internal.Workbench.runEventLoop(Workbench.java:2405)
at org.eclipse.ui.internal.Workbench.runUI(Workbench.java:2369)
at org.eclipse.ui.internal.Workbench.access$4(Workbench.java:2221)
at org.eclipse.ui.internal.Workbench$5.run(Workbench.java:500)
at org.eclipse.core.databinding.observable.Realm.runWithDefault(Realm.java:332)
at org.eclipse.ui.internal.Workbench.createAndRunWorkbench(Workbench.java:493)
at org.eclipse.ui.PlatformUI.createAndRunWorkbench(PlatformUI.java:149)
at org.eclipse.ui.internal.ide.application.IDEApplication.start(IDEApplication.java:113)
at org.eclipse.equinox.internal.app.EclipseAppHandle.run(EclipseAppHandle.java:194)
at org.eclipse.core.runtime.internal.adaptor.EclipseAppLauncher.runApplication(EclipseAppLauncher.java:110)
at org.eclipse.core.runtime.internal.adaptor.EclipseAppLauncher.start(EclipseAppLauncher.java:79)
at org.eclipse.core.runtime.adaptor.EclipseStarter.run(EclipseStarter.java:368)
at org.eclipse.core.runtime.adaptor.EclipseStarter.run(EclipseStarter.java:179)
at sun.reflect.NativeMethodAccessorImpl.invoke0(Native Method)
at sun.reflect.NativeMethodAccessorImpl.invoke(NativeMethodAccessorImpl.java:57)
at sun.reflect.DelegatingMethodAccessorImpl.invoke(DelegatingMethodAccessorImpl.java:43)
at java.lang.reflect.Method.invoke(Method.java:616)
at org.eclipse.equinox.launcher.Main.invokeFramework(Main.java:559)
at org.eclipse.equinox.launcher.Main.basicRun(Main.java:514)
at org.eclipse.equinox.launcher.Main.run(Main.java:1311)

I'll attach a Model Project Set.