The Windows security feature User Account Control (UAC) prevents non-privileged applications from changing files in system locations. Since MATLAB is installed in Program Files, UAC prevents changes MATLAB from modifying its own files when installing the Connector. To resolve this you will need to run MATLAB with administrator permissions. To do so, right click on your shortcut to MATLAB and select "Run as Administrator". You should then be able to install the Connector in MATLAB.