it seems to work fine as long as the sheet name is set as "My_Sheet", folder exist and file name is correct.
You can try this to check if they are OK before saving:
Sub SaveMe()
Dim filename As String
'check if directory exist
If Dir("C:\my_file", vbDirectory) = "" Then
    'if not ask if it should be created and continued
    rspCreate = MsgBox("Directory doesn't exist, do you wish to create it and continue?", vbYesNo)
    If rspCreate = vbYes Then
        'create dir and carry on
        MkDir "C:\my_file"
    ElseIf rspCreate = vbNo Then
        'no selected, stop execution
        Exit Sub
    End If
End If
filename = Range("B6")
Sheets("My_sheet").Select
ChDir "C:\my_file"
'check if file name is valid
If FileNameValid(filename) Then
ActiveWorkbook.SaveAs filename:=Range("B6"), FileFormat:=xlOpenXMLWorkbookMacroEnabled, _
    Password:="", WriteResPassword:="", ReadOnlyRecommended:=False, _
    CreateBackup:=False
Else
    MsgBox "Invalid file name, file not saved"
End If
Sheets("My_sheet").Select
End Sub
'check if vali file name is used in cell
Function FileNameValid(sFileName As String) As Boolean
Dim notAllowed As Variant
Dim i As Long
Dim result As Boolean
'list of forbidden characters
notAllowed = Array("/", "\", ":", "*", "?", "< ", ">", "|", """")
'Initial result = OK
result = True
For i = LBound(notAllowed) To UBound(notAllowed)
    If InStr(1, sFileName, notAllowed(i)) > 0 Then
    'forbidden character used
        result = False
        Exit Function
    End If
Next i
FileNameValid = result
End Function