David,
That's usually an indication of incorrect directory permissions on your /administrator, /administrator/components/, or /tmp/ directory. If you go into System Information -> Directory Permissions, all directories in there should show up as green/writeable. If not, you should fix those.
If everything is good there, let us know and we can come up with some other ideas. The directory permissions view also doesn't show all directories which are important, but does cover most of them, just so you know.
Hope that helps get you started,
Alex
Error when installing application
