You've probably either moved the library files from their original location or you have a permission problem on the folder where your library files exist.
If you're on a Mac by default the needed files will be located in Users/You/Music/iTunes (there should be few folders in there including iTunes Library and iTunes Library.xml)
On Windows I think the default location is similar Users/You/My Music/iTunes (but I've never used iTunes on Windows, so I may be wrong about that).
If you have your music located somewhere other than your Music/iTunes folder you need to go to Preferences->Advanced and tell it where you music is stored.