What are the permissions of the folder you're trying to create the new iTunes library in? To see these, open a Finder window and then go to the folder where you're trying to create the new library -- highlight it and do a get-info command (Command+i) and at the bottom there is a permissions section -- expand it by clicking on the triangle to see a list of users and what permissions they have -- if your user does not have write permission to this folder then it needs to be added. If you can (without revealing any personal info), tell us the location of where this is and what the permissions it has (owners and their permissions) -- make up names (but be consistent) if any of this would reveal any personal info.
Good luck...