That is because the file is write-protected. Assuming you have vista, since I have gotten the same error, you need to go to the properties of your SEGA folder and uncheck the box that says read only. Then when it asks if you want to apply this attribute to all sub-folders and files, say yes. It will take a few minutes to apply that to all of the files, since it is a big folder.
If it won't let you do this,then you need to go to the properties tab again, go to the security tab within the properties menu, and give yourself (your username in vista) full administrator privileges. This is of course assuming you have administrator privileges to begin with, since you need them to grant them to yourself (don't ask me why. Ask Microsoft.). If you have any more questions, post again or PM me.
Hope this helps.