Have you tried another location to save the image to?
I guess that this directory is protected by windows itself.
Solution:
Right click your project file on the Solution Explorer, select Add, then New item. There you can find Application Manifest File.
It creates file called app.manifest. Open it and find the tag requestedPrivileges. (like shown below)
<requestedPrivileges xmlns="urn:schemas-microsoft-com:asm.v3">
<!-- ##GERMAN TEXT##
<requestedExecutionLevel level="asInvoker" uiAccess="false" />
<requestedExecutionLevel level="requireAdministrator" uiAccess="false" />
<requestedExecutionLevel level="highestAvailable" uiAccess="false" /> ##GERMAN TEXT##
-->
<requestedExecutionLevel level="asInvoker" uiAccess="false" />
</requestedPrivileges>
The line you are interested in is this one:
<requestedExecutionLevel level="asInvoker" uiAccess="false" />
It sais you execute it as the invoker ("asInvoker").
Change it to "requireAdministrator" and restart VisualStudio as administrator.
This should make it :)
EDIT
I forgot to mention that I tried it with these 2 lines of code.
It works for me, when I run it as administrator.
Bitmap bmp = new Bitmap(12,12);
bmp.Save("C:/img.jpg", ImageFormat.Jpeg);