Heres what I do:
1. I create a script with the CK to test this out
2. I go to File>Create Archive
3. I select all the entries there (2entries. One .pex file and one .psc file)
4. I click "Pack Files" and save it

A weird window briefly pops up with what it seems to be a progress bar at the bottom. It goes by so fast that I can't really see what it is. And then the file that I saved with the CK is not in the data folder. No errors no nothing. The file just doesn't get created.

Any clue what's going on?

Oooh it gets created in the Skyrim root directory and not the data folder. wtf.

Thanks for reporting this, Wheeze201. I am about to use archive.exe for the first time and this is good info!

You're welcome

Yes the BSA is created in the Skyrim root directory but it is still undependable and may or may not work. The resulting BSA is often incomplete. Archive,exe is a joke. I have been using a third party solution - BSAOpt. The resulting BSA can be much smaller as BSAOpt will let you compress, but the program is a little cryptic to use. There are some good instructions on their website if you google it. If you insist on using Bethesdas tools, it is more dependable to create the BSA during the process of uploading a plugin to the Steam Workshop and then just abort the upload. So far, I think that has always worked for me although it keeps automatically adding the source for a custom mannequin script that I have to delete. You can tell it you want to upload any esp you have but I seem to recall that it will name the BSA for the ESP that you choose so prepare for that if you don't use your intended source plugin.