I work in windows XP CZ under user name 'Pavel Stánek', which contains a special 
character 'á'. So, user home is 'C:\Documents and Settings\Pavel Stánek'. 
Problem is in special character.

Repro:
1) Create new user with special character, like 'nána'
2) Login as user 'nána'
2) Run netbeans
1) Create new mobile application project
2) In project properties check 'Execute throught OTA (Over The Air Provisioning)
'
3) Run main project

...after compilation, emulator window is show and at once closed (without error)

This error should be in output window:

...
post-jar:
run:
Starting emulator in execution mode
Running with storage root DefaultColorPhone
** Error installing suite: storageOpen(): No such file or directory, C:
\Documents and Settings\n?na\.netbeans\5.
0\emulators\wtk22_win\emulator\wtk22\bin\.\..\appdb\DefaultColorPh
Execution completed.
121645 bytecodes executed
2 thread switches
738 classes in the system (including system classes)
715 dynamic objects allocated (36800 bytes)
1 garbage collections (0 bytes collected)
Running with storage root DefaultColorPhone
The storage name for the MIDlet suite was not given
Execution completed.
5596 bytecodes executed
0 thread switches
738 classes in the system (including system classes)
145 dynamic objects allocated (7556 bytes)
1 garbage collections (0 bytes collected)
BUILD SUCCESSFUL (total time: 12 seconds)

I tried create another user name (without special character), this works fine.