Your user account is not set to have write permissions on the entire drive for security reasons. This is different than the setting in Windows XP. When you save things, you should try to save them in your User Folder. This also allows you to move your profile to different computers using the File transfer Wizard more easily if you ever needed to do so.
If you really must have this permission, which breaks the security settings in Windows Vista, hold Windows Key (between ctrl and alt keys) + the E button.
Code:
Select your Local Disk C:
Right click Properties
Go to the Security tab in Properties
Hit the edit button to change permissions
Go to "Users"
Hit the tab that says Full Control
This is not recommended, use it...