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You need to su to root before you can write to system directories such as /usr/bin, /usr/lib, and /etc.
Cedega is a Red Hat Server fork, isn't it? If so, you might also need to check the SELinux logs. You may need to explicitly give rights to the program to read it's configuration files.
You will probably need to read through the documentation on how to do this, and also check your configuration to see if you are using SE Linux.
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