This error means that AmiQuote is not able to write downloaded data to destination directory on your local hard disk. It may be because:
1. Destination directory is incorrect or does not exist (see Tools->Settings to verify destination folder - it must point to existing folder)
2. Destination directory is NOT writable (it can be marked as 'readonly' or you may not have run proper installation and/or access to directory is restricted)
3. The file name (symbol name) contains file-system forbidden characters (*, ?, /) that prevent file from being created. This should not happen because AmiQuote replaces these characters by underscore when generating file name from symbol.