Description of problem:
Since I upgraded NetworkManager on my Fedora 11 to version 0.7.2-1.fc11.i586, the following message started appearing in /var/log/messages:

NetworkManager: Writing to state file /var/lib/NetworkManager/NetworkManager.state failed: (4) Failed to create file '/var/lib/NetworkManager/NetworkManager.state.RUUN4U': No such file or directory.

Indeed, there is no directory named /var/lib/NetworkManager on my system.

Version-Release number of selected component (if applicable):
NetworkManager-0.7.2-1.fc11.i586

Additional info:
A bit longer excerpt from /var/log/messages so you can see the error message in context:

Dec  9 09:25:05 localhost kernel: iwlagn 0000:03:00.0: Radio Frequency Kill Switch is On:
Dec  9 09:25:05 localhost kernel: Kill switch must be turned off for wireless networking to work.
Dec  9 09:25:09 localhost NetworkManager: <info>  (wlan0): supplicant connection state:  completed -> disconnected
Dec  9 09:25:09 localhost NetworkManager: <info>  (wlan0): supplicant connection state:  disconnected -> scanning
Dec  9 09:25:10 localhost NetworkManager: <info>  Wireless now disabled by radio killswitch
Dec  9 09:25:10 localhost NetworkManager: Writing to state file /var/lib/NetworkManager/NetworkManager.state failed: (4) Failed to create file '/var/lib/NetworkManager/NetworkManager.state.RUUN4U': No such file or directory.
Dec  9 09:25:10 localhost NetworkManager: <info>  (wlan0): device state change: 8 -> 2 (reason 0)
Dec  9 09:25:10 localhost NetworkManager: <info>  (wlan0): deactivating device (reason: 0).
Dec  9 09:25:10 localhost NetworkManager: <info>  wlan0: canceled DHCP transaction, dhcp client pid 3868
Dec  9 09:25:10 localhost NetworkManager: <info>  Policy set 'System eth0' (eth0) as default for routing and DNS.
Dec  9 09:25:10 localhost dnsmasq[1725]: reading /etc/resolv.conf
Dec  9 09:25:10 localhost dnsmasq[1725]: using nameserver 212.235.188.29#53
Dec  9 09:25:10 localhost dnsmasq[1725]: using nameserver 212.235.188.28#53
Dec  9 09:25:10 localhost NetworkManager: <info>  (wlan0): taking down device.
Dec  9 09:25:12 localhost ntpd[1527]: Deleting interface #10 wlan0, fe80::216:eaff:feee:c7cc#123, interface stats: received=0, sent=0, dropped=0, active_time=26 secs
Dec  9 09:25:12 localhost ntpd[1527]: Deleting interface #11 wlan0, 88.200.89.106#123, interface stats: received=0, sent=0, dropped=0, active_time=23 secs