If you're running on Windows 2003 and haven't turned on ASP.NET impersonation, and are running the app in the DefaultAppPool or an application pool that is configured to run under the identity of "Network Service", then you'll need to give the "Network Service" account write permission to the destination folder. If you're running the site in an app pool that is using an identity other than "Network Service" then that account may require write permissions to the destination folder.
If you're running windows 2000 then the '<MACHINENAME>\ASPNET'
account will need write permissions to the destination folder.
If you've got impersonation turned on then you'll need to give the site's anonymous user account write permissions to the destination folder instead.
To check if impersonation is turned on, open (assuming ASP.NET 2.0) then check your machine.config file (C:\WINDOWS\Microsoft.NET\Framework\v2.0.50727\CONFIG) to see if you have the following setting:
<identity impersonate="true"/>
This may also be overridden in your application's web.config.
Additionally if you're running in a partial trust environment then you'll likely only be able to write to the website's application folder because the default FileIOPermission is usually set to $AppDir$, i.e. you can't modify files anywhere else, even with the correct NTFS permissions.
If you're writing to a network share then StingyJack has the answer for you, but the partial trust environment considerations still apply.
But check your NTFS perms first, that's probably the best bet.
Hope this helps
Kev