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

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) 
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.