This could be due to the fact , that you are not in an Administrator's role on the machine, or you have restricted priveleges.
Although the fix is down here, i would suggest you not to create directory in Program Files or any other directory that need Administrative priveleges. You would landup in some or the other security sooner or later.
You can use the User Profile Folder or the "Debug" folder itself for such things.
Solution: Right - Click on the folder and select "Properties". Go to the Security tab and ensure that the current user has sufficient rights to write.