It sounds like a permissions issue.
If you go to "Help->System Info" and then the "Directory Permissions" tab, verify that the "plugins" directory is writable. On the server, also make sure that the /plugins/authentication directory has the same permissions.
If that doesn't work, you can configure the Joomla installer to use FTP. Go to "Site->Global Configuration". In the server area, enable FTP and set your user credentials. Then, in the Install/Uninstall area, there will be an option to install through FTP. That should help you get around the permission issues, but it's not guaranteed.