That seems to suggest that you don't have permissions to modify files in your own documents folder (the sketchbook folder is a folder called Arduino in your documents folder)... Can you create folders in your documents folder manually?
Is there anything weird about the configuration of your documents folder or user folder?
Windows 10 is a huge improvement over Windows 8.1, but still a step down for Windows 7 desktop users.
I would not recommend users of Windows 7 update to Windows 10. There are no meaningful feature additions for a desktop user, and several significant caveats. Updates become much more intrusive, and it will now reboot for updates while you're not at the computer, force closing any applications with unsaved data, and it is nearly impossible to get control over this. I have lost hours of work to this because Eagle doesn't autosave. The interface is still awkward, with a mix of "modern style" and "classic style" settings apps, often one of each for each group of settings - with different options on each (normally the classic style ones have far more options, while the modern ones are dumbed down to uselessness - but in a few cases, the setting is a new one that isn't handled by the old control panel apps)