You don't have permission to create or write to the file

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Rather than running the program as administrator, you could also try writing the file to a directory in which the user account has permission to write to. What directory were you trying to write the file to?

I.e., the error message mostly tells you what the problem is, although it doesn't distinguish between permission to overwrite an existing file and permission to create a new file in a given directory.

The solution is "try writing to a directory to which you have permission" or, if you are supposed to be allowed to write to that directory, "fix the ACL on the directory so you do have permission to write to it". Running as Administrator means that it'll let you do things that you may not want to do, and may let Wireshark do things that you didn't tell it to do; to quote the old README.packaging file in the Wireshark source (until 3.0):

WIRESHARK CONTAINS OVER TWO MILLION LINES OF SOURCE CODE. DO NOT RUN THEM AS ROOT.

where "AS ROOT" really means "AS ANY ACCOUNT WITH ELEVATED PRIVILEGES", including Administrator.