I have a feeling you are on Vista.
If you are, are you on an administrator account?
If yes and it is still giving you the error, you might have to edit your permissions for your account towards that drive.
Steps to edit permissions.
1. Go to My Computer.
2. Right click the drive you want to edit the permissions on and select Properties.
3. Go to the Security tab.
4. Click the edit button.
5. Select the 'Administrators' option in the menu.
6. Under the 'Allow' section, click the 'Full Control' box.
This should give you permissions on that drive.
Hope I helped!
Misread the post.
Follow the above steps for whatever you need done.
Ex. Instead of right clicking the Hard Drive, right click the My Documents folder.
Hope this helped!