This is certainly one of the oddest, not say unusual problems I've heard of, but as Tailwind says, the My Documents folder and subfolders are not created until the game runs for the first time. The error message you report is usually because ETO has not been installed to the Program Files (x86) set of folders in 64-bit Windows.
That being the case, there won't be anything to delete in My Documents, wherever it is located. If you haven't already, get the ETO Installation Guide and follow its instructions: installing in 64-bit systems is covered in depth because you can't install to the default locations, you must specify the correct installation path for 64-bit systems. Then there are files to edit before running ETO for the first time.