To enable writing permission for the Saturn_Usb folder:

1) Right click on the Saturn_USB folder (located in C:\Programs)

2) Select Properties from the right-click menu

3) Click on the Security tab

4) Select the Group Users and click the Edit button

5) Check the Allow checkbox for "Full control"
 
6) Click the Apply button
 
This will give any user permission to perform writes to the Saturn_USB folder.  This is necessary so that gamesaves (& other files) may be saved to this folder.