Use
which finish
to find the finish.m that is being executed. It is probably calling upon preserve_history from http://www.mathworks.com/matlabcentral/fileexchange/9291-save-entire-command-history . That code is using fopen() to open a file and is not checking to see if the open worked.
The code directly from the File Exchange uses
[fid, err] = fopen('c:\documents and settings\snelljo\application data\mathworks\matlab\r14sp3\history_saved.m', 'r');
but chances are you do not happen to have exactly that directory.
