I helped a friend with this on Vista. I don't use Windows so this is by memory.
I assume that you by "Control Panel" mean the options available in the Subsonic system tray.
Right click on the file (the error message contains the file name). I think it is located in c:\program files\subsonic\filename.
Then choose "Properties" and then the "Security" tab and grant all rights to the ordinary user (at least read/write, I don't remember

)
Retry.
That solved it for my friend.