There was a problem writing your sitemap file. Make sure the file exists and is writable. Learn more...
There was a problem writing your zipped sitemap file. Make sure the file exists and is writable. Learn more..
Did you read the instructions that came with the plugin?
I believe most of them tell you that you need to create the initial files, and that the permissions need to be such that the web server can write to both files.
Thats the bulletproof list.
Right inside the README, assuming this is the plugin you are using.
== Installation ==
1. Upload the full directory into your wp-content/plugins directory
2. Use your favourite FTP program to create two files named sitemap.xml and sitemap.xml.gz and make them writable via CHMOD 666. More information about CHMOD and how to make files writable is available at the [WordPress Codex](http://codex.wordpress.org/Changing_File_Permissions) and on [stadtaus.com](http://www.stadtaus.com/en/tutorials/chmod-ftp-file-permissions.php). Making your whole blog directory writable is NOT recommended due to security reasons.
4. Activate the plugin at the plugin administration page
5. Open the plugin configuration page, which is located under Options -> XML-Sitemap and build the sitemap the first time. If you get a permission error, check the file permissions of the newly created files.
6. The plugin will automatically update your sitemap of you publish a post, so theres nothing more to do :)
Might want to read #2