The screenshot you took is too small to read any of the details.
It sounds like a permissions problem. In Windows Explorer, I would right-click on the main folder your project is in, and grant full permissions to the Everyone account.
If that doesn't do it, I would search Google or post a message on a MS Visual Studio newsgroup or forum. This is an issue with Visual Studio and permissions -- it doesn't sound like a BE specific problem.
You can also try creating a new folder in Windows Explorer, instead of creating it through VS.