In Internet Explorer and Firefox, when you save a web page as a "Web Page, Complete", you create a file-folder pair named file.htm and file_files (containing the images, javascripts, style sheets, and other files for the html file to render correctly), which are linked and appear to be managed together: if you delete one, the other gets deleted too.
When SyncToy encounters such a pair, I think both parts are copied when either part is, and then SyncToy reports a spurious error, saying that it failed to create the folder side of the file-folder pair.
This error occurs for me on WinXP Home SP3 and Vista SP1. On Vista, I cannot find the option that I thought there used to be, about managing such file-folder pairs separately.