Sounds like you're using a IIS server. WordPress does not run easily on a IIS server. (The fact that you actually got it installed on IIS means kudos to you!) You're probably going to have to troubleshoot this one on your own - WordPress runs best on a *nix server running Apache and PHP. Although you *can* install WordPress (and have it work) on IIS, you run into issues like this. This sounds like a "permissions" thing with the server. it's definitely not a WP thing - I remember once when I installed WP in a IIS server I ran into this a lot, and it was how the host had the server set up, and something to do with the configuration of ownership, etc. (Don't ask me details, it was a while ago and I cannot remember. probably forgot because of the trauma.)
Your best bet would probably be to ask for a swap from IIS to Linux/Unix, or find a new host. Because believe me, unless someone comes along who really knows IIS and knows how to fix this (which I do not, and I am not, so I hope for you), then you're probably on your own.