I've seen this before; this is more than likely a permission error, allow files to be made in your Program Files (any help with that is outside my scope) or install the game to a different directory.
Holy crap, this is a sight to see! There'll be an update to the demo in the near future which will address some things (such as replacing placeholder music, difficulty balancing, etc). Regardless, thank you so much for playing my game! I'm glad you enjoyed it! :D