Dynamic-Headers problem-getting an error after changing permission

Hello, I have uploaded plugin called Dynamic-Headers because my theme AGGREGATOR has it’s own logo and I want to add other image.
website is http://www.yahooallinone.com
On my dashboard I am getting following error
“It looks like wp-content/header-images/ is not writable or does not exist.

You will need to create this directory make this directory writable in order for the plugin to work.

Maybe This Article from WordPress will help.”

Even-though I have changed wp-content permission to 777 and on Dash board it is alert that your wp-content is writable and after adding plugin, set as a default and all.

Please suggest any solution..TIA