When you are closing TestComplete, it saves its settings (like the panel and toolbar layout) to some file on the hard drive. For a safer saving, first TestComplete writes settings to a temporary file. This file resides in the folder, which is specified by the TEMP environment variable. If the specified folder is not accessible for writing, or if the variable does not exist, TestComplete is unable to save the settings. So, it displays this message to inform you about the situation.
To close TestComplete without saving its settings, click Yes.
If you want to save the settings, click No. This will cancel the closing. View the value of the TEMP environment variable in the Control Panel (see the Windows documentation on how to do this); make the folder writable for the user account, which you use to run TestComplete, and then try closing TestComplete again.