Vista will try to protect files in the Program Files folder, which can cause this to happen. You will need to copy your Styles folder to a different location and configure EndNote to use that location:
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Close EndNote if it is running
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Go to the folder “C:\Program Files\EndNote #”, where # is the version of EndNote you have
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Single click on the “Styles” folder to highlight it and press CTRL+C
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Go to your Documents folder and press CTRL+V to paste the folder
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After the copy dialog finishes, start EndNote
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Go to “Edit > Preferences” and click on “Folder Locations”
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Click on the “Select Folder” button in the Styles section
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Select the Styles folder in your Documents folder and click “OK”
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Restart EndNote and you should be able to save the changes to the styles