My reply isn't going to be much help I'm afraid - I'm just hoping to bump the post up as I'm having a similar problem. The thing is, my client can edit all of the other pages on his site without any issues. And on the one page where there is an issue, he gets this error message "Access Denied.The file may not exist, or there could be a permission problem. An unknown error occurred in the Contribute file state manager." ONLY when he tries to add new pictures. I just can't figure out why ... would LOVE ideas!
I am guessing that you are connection via a local network connection. If so can you see if you can create a new file in the directory by going to it in Windows Explorer? My guess is that you don't have read / write persmission to that folder. If your network admin looks at the security logs they can see the error that is thrown and what contribute is trying to do where it is getting an access denied error.