Access Denied

[tjlab]

I followed these instructions:
Connect your External HD to your Laptop and BOOT UP to Windows
Click the Hoster Icon to Open Hoster
Click IMPORT to Open the Import Window
Click Save To Folder
Click the DROP DOWN Arrow on the Right-Hand Side of the "LOOK IN:" Box
Click the DRIVE LETTER that designates your External HD
Click the CREATE NEW FOLDER Icon that is to the RIGHT of the Yellow Folder
.......with an UP ARROW on it.
BUT!!!!!!!
When I try to do that last step I get a window that says unable to create the folder, "New Folder" Access is denied.
My external driv ethat I just bought is Plextor 716UF
Until you can help, I can not do the rest :

Type word SONGS and press the ENTER Key
Double Left-Click the new Folder called SONGS
Click the SELECT Button
Close the IMPORT Window