Ah, that is usually an antivirus app getting in the way. What antivirus app do you use? You need to make sure all these apps are in its exceptions lists:
Prison Architect64.exe and dowser.exe (in the Steam PA folder)
C:/users/{username}/AppData/Local/Programs/Paradox Interactive/launcher-v2.2025.8/paradox launcher.exe
C:/users/{username}/AppData/Local/Programs/Paradox Interactive/bootstrapper-v2.exe
IF that doesn't help, Right click on Documents in the left column of File Explorer, just under This PC there. Go to properties, location. What does it say there?