If you don't get any error about the creation of the logfile, it's probably a working directory problem.
In Visual C# Express, look at your project proprieties:
Project > Settings (make sure you've selected all configuration or else it will only change the current config, i.e. debug) > Properties > Configuration Properties > Debugging > Working Directory
And set the working directory to your project output directory. By default, it's the project directory and not the output one, so the logfile should be generated here and not next to your executable file.
It's also a common problem when your app don't find some ressource files even if you'r sure about their location. Always look at the working directory if files are not found.