You may have Windows Defender or similar installed. The firewall is not the problem, as you already downloaded the archive. Firewalls protect against the outside world, but not being able to place an executable in a particular folder is a permissions problem. Difficult to tell, though, at a distance. There are thousands of Masm32 installations that work just fine, but every computer is set up slightly differently. Some of the cheap AV software believe that assembler is dangerous, so don't be surprised that you get false positives...
Keep us posted about your progress. And welcome to the forum :icon14: