I am having a similar problem. Only my problem is that there is no Components folder at the end. What the hell?! Please someone, help!
I managed to get it work at the end...
First, the components directory was at this location:
Then, to make a component out of a MovieClip, right click on the MovieClip in the library and select "Component Definition" and check the checkbox "Display in Components Panel". What I did then was to right click on the MovieClip and selected export swc file, and saved it in the directory above. This exported only one Component, which was fine for me. Probably it would be possible to do something similar to save a library of components as a .fla or .scw or so, but I don't know the details.
Marking as answered, since it worked for me..