psql o and g options not working

Hi,

Whenever I try to use the \o or \g options to output a sql query to a
file, I always get a "File or directory does not exist error."  The
file does exist and I've given it every permission possible, ensured
it's owned by the postgres user, and made sure it's in a directory
postgres can write to.

What am I doing wrong?  I'm using postgresql 8.3.

thanks