gimp looking in the wrong place

OK, first thing, please understand that GIMP Portable has 2 places that it saves brushes.
The first, which is where it stores the default brushes is here:
X:\PortableAppsSuite\PortableApps\GIMPPortable\App\gimp\share\gimp\2.0\brushes

The second, where the script-fu writes the user-created brushes, is here:
X:\PortableApps\GIMPPortable\Data\settings\brushes
But the brushes subfolder isn't present out-of-box.
So, if you just use windows explorer and add a "brushes" folder in this location, you won't get the error message.
(The error message is telling you that the directory doesn't exist; while the script-fu is written to automatically create the file name, it can't make the folder by itself)

There are also several different ways to make brushes.
1. The way that caused that error is to right-click on the Brushes dialog box, and select "Elliptical" or "Rectangular", which makes pretty simple brushes.

2. Right click on any default simple brush and choose "Duplicate". It will open the Brush Editor, where you can give it a name and which has more options than the first way.

3. In the Brushes dialog box, right-click and choose "New Brush", which will also open the Brush Editor.

4. Create a picture in GIMP and save it as a brush in the folder with the other default brushes. Refresh the Brushes dialog to see it. This is how they made the Pepper brush.

5. Finally, there is a special brush in the Brushes Dialog called Clipboard. It's the top left brush. This lets you paint with whatever image you've copied to the clipboard.

I haven't seen any similar error with the Patterns dialog, but there aren't scripts to edit them; you either have to create a picture in GIMP and save it as a pattern, or you can use the clipboard as a pattern.

I hope this helps.

Finally, @JTH: Can you make sure that the x:\PortableApps\GIMPPortable\Data\settings\brushes folder is present by default in the next release?
Thanks.