Cannot create file to C:\DATA.TAG

I just downloaded a program called D:\Messageasap.exe. Okay when I try to open the application,I keep getting the message you see in the title of this question. That is all it says. I tried to finish this application about five times, it is time for some help here.It goes on to say “make sure files are not locked” and “make sure there is enough disk space”. There is plenty of space on my hard drive, but I don’t know what “locked” means.