Please check that there is nothing wrong with your Python installation. I get this result:

vinay@eta-jaunty:~/projects/scratch$ ls testing.log
ls: cannot access testing.log: No such file or directory
vinay@eta-jaunty:~/projects/scratch$ cat rfhtest.py 
import logging
from logging.handlers import RotatingFileHandler

rfh = RotatingFileHandler("testing.log", delay=True)
logging.getLogger().addHandler(rfh)
logging.warning("Boo!")

vinay@eta-jaunty:~/projects/scratch$ python --version
Python 2.6.2
vinay@eta-jaunty:~/projects/scratch$ python rfhtest.py
vinay@eta-jaunty:~/projects/scratch$ cat testing.log
Boo!
vinay@eta-jaunty:~/projects/scratch$ 

I'll mark this issue as pending for now, it certainly doesn't fail for me as it does for you, can you give more information about the problem?

I'll investigate the issue based on your analysis - can you tell me more about the platform you're on? Is there an existing log file when you get the error?