My steps are exactly the same as you describe.
I don't get any error messages. The Preset Manager window "hangs" (Not Responding) and I need to force Dreamweaver to shut down to get out of the Preset Manager Window.
I use Dreamweaver CS5, Build 4964
CSS Menu Writer version is 2.0.5
My OS is Windows 7 64 bits
I have deleted the winfile cache.