Help me!

You're probably opening the project folder within the Greenfoot folder in program files. Try copying the scenarios folder into your home directory (My Documents for instance) and then open it from there.

You might need to open the program as the Administrator. I get the same thing if I just double click the short cut. Ie, select the shortCut right click run as Administrator. Should work does for me.

I'd advise against running Greenfoot as administrator; you simply don't need to. If you get the warning about the scenario being read-only when you don't actually have a scenario open, there's nothing to worry about, you can ignore the warning. If you do have a scenario open (one of the examples included with Greenfoot) it just means you need to save the scenario somewhere else (and then open it from the new location) before you can work with it.