Most likely it will refer to the location you chose is not within your OSX permissions status for saving & moving files to.

Many OSX users will use a location "within" their personal account folder. ie: OSX -> Users -> YOUR account name -> LW Downloads/Shared.

You will be unable to save to another person's personal user account folder & you will probably have problems attempting to save to the OSX top level folder or any system folders such as Library or System because they belong to the OSX system & can not or should not be used for making changes to.

What I do is save my downloads to a second hard disk drive / partition. You can also make a particular location yours by creating a folder or highlighting a drive (NOT the OSX System drive else will cause major problems!!!) & after selecting, go to menu bar & choose File menu -> Get Info. In the window that opens, click Permissions & details & change to your name. But do NOT do that on the main system drive.