It could well be your antivirus.  I use ESET's NOD32, which is highly regarded, and it often conflicts with writes to the DMB files when playing a game.

Most antivirus programs allow you to exclude certain files and directories from being scanned or monitored by the AV program.  See if your offers an exclusion feature; that's what I use.  Another choice would be to temporarily turn off or disable your AV while playing DMB; however, if you do that I would STRONGLY recommend you not surf the web or open email attachments with your AV disabled/off.