Error messages like this indicate an issue with the location to which you're trying to save the script. If you go to File > Save As and are able to save the script to some other place, such as the Desktop, your Documents folder or another folder you've created, then Final Draft is working the way it's supposed to. There's no problem with the program or the file.
Final Draft will save a script wherever you tell it to save -- as long as the operating system will allow it. For example, the Mac operating system will not allow any program to save anything to the root of the hard drive (Macintosh HD); if you try it, you will get this or a similar error message.
This problem should be approached from the operating system side. You may need to change the permissions of the folder to which you're trying to save, or simply save the script somewhere else.