Can't transfer files from remote location to local machine

I just downloaded WinSCP 4.3.3 (no previous version was on this pc) onto my Windows 7 machine. I'm using the commander interface style. I made the connection to the server with no problem. When I tried to transfer the files (I have no previous version of these files on my machine....first time downloading them) to my machine, I received the error below.

Can't create file C:\inetpub\whenthemorningcomes\about_agp.php

System Error. Code: 2.
The system cannot find the file specified.

None of the files will download. I initially highlighted all of the files and folders to copy them all at once and I got the error for each one of them, then I tried on a single file and it still wouldn't download. The file transfer protocol is SFTP-3.

Any help would be appreciated. Thanks in advance!!!

Can you create the file C:\inetpub\whenthemorningcomes\about_agp.php using any other application? Can you try downloading to other folder (like the Documents folder)?

I eventually tried to download the files to a folder that I created in the Documents folder with no problem. I was also able to copy files from another location into the C:\inetpub\whenthemorningcomes folder after providing administrator permission to do so; I am not able to download directly into the folder. I'm thinking now it may be a permissions issue or something. Do you know for sure if that's the case? Thanks!

Looks like permissions problem.