If that's the case, you can edit or delete the config file so that you can pick a new directory.
NEXUS MOD MANAGER UNABLE TO FINISH THE MOD
If you've already selected the default mod directories, you won't be asked if you want to change them when you get this error. You do not want to set these directories to something under C:\Program Files or in the Steam folder, etc. You could potentially put this in your Documents folder, but I have "projects" folder I created in my home directory, which works well for me. When the Mod Manager asks you where you want to save the mod files, pick someplace under C:\Users(your user name)\ or C:\Documents and Settings(your user name), depending on the version of Windows you're using.
NEXUS MOD MANAGER UNABLE TO FINISH THE INSTALL
If you install to some subdirectory of your home directory, you won't have to worry about permissions and so forth. Put your Nexus Mod Manager files somewhere else. Now you can write to C:\Games, which ought to make NMM happy.