The variable is meant to point to a file in your database, not a file on disk. I suggest creating a new file/dataset in TC dedicated to DXF conversions and editing the tempTCDXF constant to point to this new file/dataset. The journal needs a clean, "temporary" file to import the CGM data, then it exports the information to a .dxf file on disk.
If you are running native NX, the journal will create its own 'temp' file to work with and delete it when it is done. In this case, the tempTCDXF value is ignored.
I'll try to update the verbage to make that more clear in the journal.