Seems the game does not have write access to certain areas of your drive...
Check the permissions on the relevant folders (the one you installed UO to, and the one in your Documents folder where it likes to save desktops these days).
To do this, right click a folder, select Properties, and you can see who has access via the Security tab.
As a (very) general rule, if the Everyone group has read/write access, it should work.
If you're not having any luck, report back on your operating system, client type and any anti-virus software you might be running.