Are you changing the cache via "File"->"Preferences"->"Cache"? Try settng the cache that way, then pressing "Apply", "OK" and then exiting Nero without doing anything else. Then restart Nero and see if the change sticks.
If it doesn't, open up registry editor (regedit), navigate to the following two keys
HKEY_CURRENT_USER\Software\Ahead\Nero - Burning Rom\Cache
HKEY_LOCAL_MACHINE\Software\Ahead\Nero - Burning Rom\Cache
and report what the "Path" value is set to in each key. The HKEY_CURRENT_USER value should contain the path you want to use for your cache, while the HKEY_LOCAL_MACHINE value should be empty.
You might also want to try upgrading to the latest version of Nero:
By the way, what OS are you using, what exactly are you doing when you get the error message, and what exactly is the error message?