George,
Not sure why you're seeing that error. There's a few things you can try though, and hopefully, one of them will just fix you right up:
1) First, make sure you have the v3.2.1 version of the component for Joomla 1.5. It should have v3.2.1 and j1.5 in the extension name (not j1.6).
2) Check to make sure you're /tmp directory is writable. You can do so in the Help->System Info, "Directory Permissions" tab. It should say "Writable" in green next to the Tmp directory.
3) Try enabling FTP mode on your server. You can do this in the Global Configuration area. Once done, when you use the install/uninstall section, you can provide your FTP credentials. This generally helps get around some permissions issues that Joomla can face on some hosts.
4) Finally, if none of that works, you can try installing manually. To do so, simply unzip the package on your computer, and then FTP it to a directory on your server, like /path-to-your-site/tmp/jfbconnect. Then in the install/uninstall area, use the "Install from directory" option and provide the directory you FTPd the files too.
Really hope this helps, but if not, let us know! We'll get you going!