What version of Rockbox Utility are you using? If you are the only user using your PC it's likely you're administrator, but it doesn't need to be this way. Please check the About / System Info output (you can copy & paste from that window) -- if you have administrator permissions it will show you this. But as far as I understood you already have the bootloader installed, which is the part that requires admin permissions.
Please check if the drive letter entered in Rockbox Utility is actually the player -- you *can* put any other valid drive letter there, but this obviously wouldn't work as expected. Rockbox Utility should be able to detect the drive letter if you use the "autodetection" button in the configuration dialog (make sure you use 1.0.6 for this).