Gurobi license not recognized as an internal or external command

I’m trying to install Gurobi, but it gives the following error after using cvx_grbgetkey ('xxx'):

CVX/Gurobi license key installer
---------------------------------------------------------------------------
Contacting the Gurobi Optimization license server...done.
The attempt to retrieve the license key failed with the following error:

    'X:\My' is not recognized as an internal or external command,
operable program or batch file.

For information about this error, please consult the Gurobi documentation

    http://www.gurobi.com/documentation/5.5/quick-start-guide/node5

Once you have rectified the error, please try again.
---------------------------------------------------------------------------
Warning: Escaped character '\M' is not valid. See 'doc sprintf' for supported special characters. 
> In cvx_grbgetkey (line 338) 
'X:---------------------------------------------------------------------------
Now that the license has been retrieved, please run CVX_SETUP to configure
CVX to use the Gurobi solver with the new license.

I have the license and tried to add it to both the simple X: location and the X:\My Documents\ …
The mistake is probably in the spacing of My Documents, is there a way to solve this? I’m afraid to move the whole cvx location.