We can't really answer that directly - a lot depends on how you installed the DB in the first place.
But...a common problem is installing the DB in a folder that doesn't have any write access - such as the root directory of any fixed disk, or sometimes in the application folder.
Have a look here:
Where should I store my data?[
^] - it gives some "safe" places to store data which may be a better idea, and could solve your problem.