If you install to some subdirectory of your home directory, you won't have to worry about permissions and so forth. Put your Nexus Mod Manager files somewhere else. Now you can write to C:\Games, which ought to make NMM happy. Click OK to dismiss this dialog, and then click OK on the properties dialog.

If not, double check your login name from step 7. You can do this if you have administrator rights by:

Just right click, and choose the 'Run as Administrator' option. This way, it will have permissions to write to the root of C:\, and then you can create the files/folders there. They want you to install into a subfolder of C:\, and if you don't have administrator rights, chances are you can't create the 'Games' folder you need (C:\Games). The root cause is that the default folder that Nexus Mod Manager wants to install into is not typically writable by normal users. I ran into this problem today, and I've come up with a few solutions.