The location in question is found here:

Vista:   C:\Users\Public\Documents\Stardock\CursorFX\Themes
XP:      C:\Documents and Settings\All Users\Documents\Stardock\CursorFX\Themes

Please make sure that this folder exists and you have the correct permissions to modify it. To change file permissions:

 -Open any folder on your computer (My Computer works, too)
 -Tools->Folder Options (hit F10 in Vista to get the "File, Edit, etc." menu)
 -Under the 'View' tab, uncheck, "Use Simple File Sharing" (at the bottom)
 -Click OK out of that dialog
 -Navigate to the file(s) giving you the problem
 -Right click on the file and go to properties
 -Under the Security tab, be sure that the entry for your username has the "Full Control" "Allow" checked

If it's still giving you issues, drop us an email at support@stardock.com.