The most common reason is that the Internet Guest account (IUSR_MACHINE), which is by default part of the "Everyone" group, does not have Write permissions on the database file (.mdb). To fix this problem, use the Security tab in Explorer to adjust the properties for this file so that the Internet Guest account has the correct permissions.
I am using Win XP. Where and how to check for "the properties for this file " ?
Usually your host has some means set up for you to check the permissions on your site. Some hosts have web-based applications set up for you, others allow you to edit permissions via FTP, and others make you call their support line... there should be some information in your host's FAQ that will point you in the right direction.
I think that's a support email to GoDaddy, just tell them what you want on which folder and why (for the db), they'll set it up for you (or suggest you use a different folder with the right privs already set)