fatal error C1083: Cannot open compiler generated file

fatal error C1083: Cannot open compiler generated file

I have on my (custom made) makefile: OBJS=obj\A\class_A.obj
obj\A\class_A.obj : A\class_A.cpp A\class_A.h
Now, when I manually create folder obj\A - all compiles well. BUT: when I
delete folder A - compiler fails with error message: fatal error C1083:
Cannot open compiler generated file: 'obj\A\class_A.obj': No such file or
directory
so - again - The error occurs on the following folder hierarchy: A
class_A.cpp class_A.h Obj
But does not happen on this: A class_A.cpp class_A.h Obj A
Any ideas? Is this a VS compiler bug?
This, btw, compiles well with Cygwin.