SOLVED for Windows 7: you have to lauch NIOS II as administrator. Right click on the icon on the desktop and select "Run as administrator".
I too was going nuts trying to everything as suggested above but couldn't get the non-bsp folder to appear in the project navigator. What tipped me off to the solution was reading throught the console messages. Even that was a trick since when the script is finished you don't get the full text that was flashing through the console. You have to click and select the right console messages. Reading through it showed creating the DE1_count_binary_bsp folder and files but when it went to create the DE1_count_binary folder, some sort of access denied message appeared and then the script finished. Hmmm, access denied sounds like a Windows 7 thing. Bingo.