How do I fix this warning: "The iTunes Library file cannot be saved. You do not have enough access privileges for this operation."?

Make sure your user account has access to the directories listed here -> iTunes: What are the iTunes library files?

Location of the iTunes library files:

Windows XP
\Documents and Settings\username\My Documents\My Music\iTunes\iTunes Library.itl
\Documents and Settings\username\My Documents\My Music\iTunes\iTunes Library.xml

Windows Vista
\Users\username\Music\iTunes\iTunes Library.itl
\Users\username\Music\iTunes\iTunes Library.xml

Windows 7
\Users\username\My Music\iTunes\iTunes Library.itl
\Users\username\My Music\iTunes\iTunes Library.xml