Windows XPHome, XPPro32bit, XPPro64bit, Vista32bit, Vista64bit, Win7-32bit, Win7-64bit?
When exactly do you get the error?
Can you get rid of it by doing whatever you're doing while logged in with full admin privileges and/or running elevated (i.e., the same way you would install a program)? Might only need to do it once, looks like a directory creation is failing.