I think that problem was caused by Windows Media Player 9. I don't know exactly why, but it seems to set the saving directory to read-only if you add your downloaded music to the playlist.

I'm not a windows expert so I can't tell you how to get around this bug.

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Morgens ess ich Cornflakes und abends ess ich Brot
Und wenn ich lang genug gelebt hab, dann sterb ich und bin tot

--Fischmob