If you are programming in Vista this can be a confusing error message to receive. In my case I was updating some data in a XML file. There could be several reasons for such a message to originate, but in this case it was the UAC (User Account Control) administrative rights.
In XP there were no Admin Right so this is new to Vista. But it does continue into Windows7.
If you go to http://207.46.16.252/en-us/magazine/2007.06.uac.aspx it will explain it all! With Visual Studio 2008 it is easy to fix. You have modify your project app.manifest settings.