Apple - "You don't have permission to save files in the location where screen shots are stored"

If you type defaults read com.apple.screencapture location into a Terminal window it should tell you where OSX is currently trying to save screenshots.

You can change the location with a similar command. For example:

defaults write com.apple.screencapture location ~/Desktop will save screenshots to your Desktop.

defaults write com.apple.screencapture location ~/Documents will save screenshots to your Documents folder.

Once you've told it a new location you need to run the following command for OSX to pick up the change.

killall SystemUIServer