Sorry, I thought you were running FtpPro. It looks like it's trying to create a couple of files:
tmpfile.tmp
tmpdsply.tmp
Either in your ICETCP4 directory, your root directory or your temp directory. Those would have to be writable. If you are a limited user, some of them will not be writable. Also, if you have a virus checker running all the time it could be preventing the creation of the temp files.
I would suggest looking to see if these places are writable. As an alternative you could install the 5.1 client which will include FtpPro and use that instead.