carjoe,
I've seen Links installed on just about every drive letter available, so it isn't Links that giving you the problem. It sounds like you've got a permissions problem on the directory that you're trying to build links. From what you're saying, it sounds like you've got physical access to this server. You need to right click on your links directory and give the system full control over the directory. For NT, it is usually a good idea to let the system have full control over most everything unless you have a particular reason for needing security of specific areas of your machine. You may also want to login as an Administrator and give your user login full control over the directory as well (assuming that you're doing all of your building on your local machine).
I've seen Links installed on just about every drive letter available, so it isn't Links that giving you the problem. It sounds like you've got a permissions problem on the directory that you're trying to build links. From what you're saying, it sounds like you've got physical access to this server. You need to right click on your links directory and give the system full control over the directory. For NT, it is usually a good idea to let the system have full control over most everything unless you have a particular reason for needing security of specific areas of your machine. You may also want to login as an Administrator and give your user login full control over the directory as well (assuming that you're doing all of your building on your local machine).