@Anonymous Can I impose on you to show us screenshots of that pop-up message, as well as the location of your files in Finder?

Can you copy or add files to that folder in Finder by chance?
Where are you saving the file? Somewhere in your home folder, or outside your home folder? If it is in your home folder, you seem to have some permission problems on your home or that folder.

In Finder, open the folder where you are trying to save the file and Get Info (cmd-I). What does it show for the permissions at the bottom of the window?