Log in as an administrator and it should let you do it. If you are using XP you can either set your user as an administrator, reboot into safe mode and slick administrator, or press CTRL-ALT-DEL at the login screen and then type in administrator. You must have the password to do this.
You can probably install Planeshift into \"C:\\Documents and Settings\\(Your username)\\Planeshift\" and then you can avoid the administrator stuff.