The Export to CAD Tool in ArcToolBox > Conversion Tools > To CAD reports the tool executed successfully, but no output file is created if the user does not have administrative priviledges.
Change the directory specified in the "Start in:" field in the shortcut properties. By default, this field will contain the path to the "C:\Program Files\ArcGIS\Bin\" directory. If you change the properties of the shortcut in the Start menu, or create a new shortcut on the desktop and edit the properties of it, the temporary INFO directory will be created in directory specified in the "Start in:" field.