"The Windows account that is used to access your site must have full control over your DNN root folder. To set this, right-click on the root folder of your site. Click Sharing and Security. Click the Security tab. If you do not see the Security tab, you must “turn off” simple file sharing for the folder. To do this, select the root folder in Windows Explorer. Click Tools | Folder Options. Select the View tab. Uncheck “Use simple file sharing.” Click OK. You can now right-click the folder and access the Security tab."

Quoted from A Newbie’s Guide to Installing DotNetNuke.