This problems occurs when the system cannot get access to %appdata% (where the Agent files are extracted once you click on it). In normal circumstances this folder should be accessible for the current user.
Please, try deleting this folder %appdata%\Remote Utilities Agent\ and then re-run the Agent.
Couldn't find that folder on the laptop (but did find it on desktop where it works). So I even manually created it, still not working.
On a whim, I selected "Run As Admin" and it worked! Closed it and tried again without specifying "running as admin", and it worked again. Strange, since I thought one of benefits of Agent was that it didn't need admin privileges?