You might face permission problems while editing and saving some system files on Windows. While searching something over there i found this information as a possible fix for such permission warnings.
Start > Programs > Accessories and then locate Notepad. Right click on notepad and run as administrator. When the notepad opens up, click on FILE and then browse to the HOST file. You wont see the file until you choose VIEW ALL FILES on notepad screen. Once you see host file, open it and then edit it. You wont find any problems saving the file now!
Thanks to Mike Anderson for this valuable piece of information!