You might want to check that the file it is trying to write to has the appropriate permissions. Maybe the copy of the file in the root directory is writeable, but the config file in the home directory isn't. I don't really use cedega too much yet, so I don't have any idea how it works, but I'm guessing that this would be the problem.
Is there a ".cedega", ".winex" or similar directory in your home folder? Check that it's writeable, and that the files inside are writeable too.