Yep - I can confirm this. I also did the right click thingy and the URL reads:
res://C:\WINDOWS\System32\shdoclc.dll/dnserror.htm#file://C:\MyProjects\html\prev0~.html
(that's the normal IE error page indicating it had problems with the URL "file://C:\MyProjects\html\prev0~.html")
Looking for the file "C:\MyProjects\html\prev0~.html" shows, that this file does not (any more) exist, which I presume is the reason for the error I am seeing.
I also tried to fiddle with the option Preferences => Preview => General => "Preview documents without saving" but checking/unchecking that option does not seem to make any difference here...
Question: why does the file mentioned disappear (or not get written)?
Michael