I think ODI generates the "/" character by default and I do not think we need to do any special processing to escape this character.
Based on error message, looks like you have given "C:\DirectoryNameHere\" as Directory in the Physical Schema. Lets say "SourceFiles" is your directory name where all you file will land and you want ODI to pick it from there, then Directory path is going to be "C:\DirectoryNameHere". When you run the job , ODI generates path like this : "C:\DirectoryNameHere/OTD.csv"
Thanks Keith. That worked.
I did originally use "C:\DirectoryNameHere" instead of "C:\DirectoryNameHere\" when working with an excel file but that didn't seem to work, telling me "MyFile.xlsx" doesn't exist. So, I switched to trying dynamic naming on a csv with C:\DirectoryNameHere\" instead.