You've got a permissions problem. Are you trying to save the iTunes Library to somewhere other than the default of Music (in your Documents folder - was called My Music and My Documents under Windows XP and earlier)? If you are, you'll need to give yourself write permission to the folder you're trying to save your music library to. To do this:
Right-click the folder in question and choose Properties
Click the security tab
Find yourself, or add yourself if you aren't listed in the list of users
Check the Modify, Read, and Write boxes for your entry
Click apply then OK