First, you need to install NGM before you go doing anything, don't run or install or download Mabinogi before installing NGM, it causes lots of problems usually. If you need a link to download it manually:

For those who are having serious issues, you need to press the "Change settings for all users" button and then check "Run as administrator"

In windows XP, you need to make sure your user account has admin rights, and you don't have a third-party UAC installed.