Does this happen when you start Emacs using
emacs -Q (no init file)?
It looks like you do not have permission to save your init file at the top of the
C:\ drive (which is likely a good thing). (In the old days, the top of the
C:\ drive was considered your home directory. Nowadays, that's kind of frowned upon.)
When in Emacs, use
C-h r g init file to go to the Init File page. There you will see where you can put your init file.
The first thing you should do, on MS Windows, is to define your
HOME folder, which you do by defining the system (aka environment) variable
HOME. Then save your init file in that folder.
HOME variable is not already defined, or if you want to change your home-folder location, go to Control Panel > System > Advanced system settings > Environment Variables. Click New (if it is not yet defined) or Edit (if it is defined) and enter
HOME as the Variable name and the location of the folder you want as the Variable value. Save your changes.
As the manual tells you, you can save your init file (in your
HOME folder) in any of a few names:
Emacs looks for your init file using the filenames
~/.emacs.d/init.el; you can choose to use any one of these three names. Here,
~/ stands for your home directory.