Judging by the error message, "Access is denied", I would say that it looks jEdit can't save because the user it's running as doesn't have write access in the target directory.
This could be a bug in jEdit however; looking at both file paths, it looks like it wants to modify the Untitled-1 file in the
C:\Program Files\jEdit directory; however, it may actually be trying to edit a file called
C:\Program Files. It's believable that it would not have permissions to write to the latter.
One workaround would definitely be to eiter run jEdit as an admin user, or grant yourself write access to
C:\Program Files. However, I would investigate the settings to see if you can change the directory jEdit is using for this rather than changing your system's security settings.