if it complains about it then there is a good chance that the user (operating system account)
which started notepad++ has no sufficient rights to the directory you want to write to.
In such a case there are two ways to solve it.
start npp with an user which has more privileges (aka run as administrator) change the permissions on the folder (BUT DO THIS ONLY IF YOU KNOW WHAT YOU DO - otherwise you might corrupt your system)If you tell us which file should be save under which directory (full path) then we could,
maybe, offer additional information how this may be solved.
Cheers
Claudia