Rose,
Make sure that your /tmp directory is writeable. If you go to Help -> System Info, and click Directory Permissions, you should see the tmp directory in green with "Writeable".
If that is correct, can you let us know what kind of server you're running (Apache or Microsoft IIS)? Also, let us know how you're trying to install JFBConnect.. just using the main Joomla installer to install the whole tar file, or did you transfer it to your system and trying to install it locally?
We'll help you get to the bottom of it!
Alex