Usually, it means that you're not logged in as an administrator, so that the install process doesn't have the "privileges" needed to create a new sub-directory. Many users on computers (at home or at work) lack this. You need to be logged in as an administrator to do it.
It can also be a problem created by some security software, which won't allow programs accessing another computer (e.g. over the Web) to simultaneously modify storage, etc. on the source computer, for fear of virus infection, trojan horse installation, etc.
