Sounds like you don't have write access to that folder that you're trying to save the profiles to. Try saving the weldment profiles to a different directory (My Docs, Desktop etc.) Once you've done that go into your system options -> File locations -> Weldment Profiles and add the folder where you've saved the profiles there.
Also, ensure that you've preselected the weldment profile sketch in Solidworks before you save it off as .sldlfp. You'll find more info on the following link:
Thanks Suraj and Deepak, very simple fix that worked!
I have the same problem with two different workstations located in two different states. Tried downloading to many different folders. My reseller tried setting permissions/security to work around the problem with no luck. The proble is either on the SolidWorks web site or inside SW2013. My reseller is going to send me the profile files I need while SW works on the problem.