I get compiler error: Use of unassigned local variable 'MySW'

The line in the Finally block causes this. It is clearly being assigned to in the Try {} block. What gives?

Code:
//C#
void SeriousErrorMessage(string msg, string category)
		{
			StreamWriter MySW;
			try
			{
				//write the error message to a local file on the HDD
				MySW = new StreamWriter(itsLocalLogPath + "_" + category + "_" + DateTime.Now.ToShortDateString() + "_" + DateTime.Now.ToShortTimeString() + EXTN_LOG_FILE, false);
				MySW.Write(msg);
			}
			finally
			{
				MySW.Close(); //close the new file
			}
		}