That's your anti-virus or anti-ransomware blocking Cosmoteer. Try adding Cosmoteer to its whitelist.
I use AVG and it doesn't seem to have a white-list option so that kinda sucks.
I'd be pretty shocked if AVG didn't have a whitelist. But if you can't get that to work, then there's another, somewhat-advanced workaround, which is to tell Cosmoteer to save ships & games in a different directory using a command-line argument: --rootsavepath "C:\CosmoteerSaves"