You didn't mention what OS you're using so I'm going to assume Windows but it's basically the same problem under Linux.
The error you're getting means you don't have permissions to write to the folder where you installed LeoCAD (the default is c:\Program Files\LeoCAD), this happens if you have UAC enabled in Windows 7 or Vista.
You can either run as administrator or move the installation folder somewhere else (your desktop for example), run from there, import the parts you want and then move the folder back.
The error you're getting means you don't have permissions to write to the folder where you installed LeoCAD (the default is c:\Program Files\LeoCAD), this happens if you have UAC enabled in Windows 7 or Vista.
You can either run as administrator or move the installation folder somewhere else (your desktop for example), run from there, import the parts you want and then move the folder back.