I get this all the time, for various completely valid reasons.
Firstly, as Paul says, if you can't write to the folder / subdirectory where you want to when creating the .EXE, then this message comes up. Common reasons are because it is on a CD (!) or because you don't have write permission there ... something that happens increasingly with computers that are 'managed' by an IT department.
Secondly, you can't overwrite a previous version of the EXE. Again, there are several reasons for this, including that the previous version is set to read-only, but more commonly, because it is actually in use. During a phase of writing and testing (particularly with ClearWin), it is possible for a window to be created and left running and you can't see it. Then you don't seem to be able to create a new .EXE with the same name. Simply not closing the running version has the same effect. (This is my usual problem).
I discovered last year that when attempting to write a datafile you need to have write permission in the target folder as well as to select that folder with the Windows dialog. Hence, after an OPEN statement, you need an INQUIRE (or the combination in the OPEN) to check if it was successful - just going ahead with writing causes a lock up. In my case, this was something created by my IT department ... I'm used to full access to everything about my PC.
Eddie