You can do this if you have administrator rights by: Just right click, and choose the 'Run as Administrator' option. This way, it will have permissions to write to the root of C:\, and then you can create the files/folders there. They want you to install into a subfolder of C:\, and if you don't have administrator rights, chances are you can't create the 'Games' folder you need (C:\Games). The root cause is that the default folder that Nexus Mod Manager wants to install into is not typically writable by normal users.

I ran into this problem today, and I've come up with a few solutions.