As the error points out there is a permission denied problem.
Since I don't know your setup since you didn't provide any details I'll take a few guesses.
1. Your using Windows Vista
2. Your installation either used the defaults from an older install or your trying to use your FlashFXP program folder as your data folder.
3. The problem with this configuration is that in Vista the program folder should not be used as a data folder and Vista goes as far as denying anyone but administrator access to these files.
To resolve the problem there is actually a previous thread that explains this situation
click here
