CANNOT CREATE A TABLESPACE

I am trying to create a new Tablespace without success. I am using
PostgreSQL 8.3 and pgAdmin III v1.8.2 in a Windows XP Professional
environment with the following steps:

1. I create an empty directory called c:\pgppdata using Windows Explorer.
2. I right click on Tablespaces in pgAdmin III interface and select New
Tablespace
3. I give it the name e_restdelivery
4. In location I type c:\pgappdata (the directory created in step 1)
5. In owner I select postgres and click the OK button.
6. I get a message saying *** ERROR: could not set permissions on directory
"c:/pgappdata": Permissiond denied ***

Note that the slash in the message is not the same I use in step 1; I have
used both in the first step with the same result.

Please advice.

With respect,
Jorge Maldonado