If I had to take a wild guess, I'd say your Program Files folder requires administrator privileges for write access. It's not really a Windows 10 problem. Ideally, you should store your ROMs somewhere in your User profile, like C:\Users\Whatever\roms.
You might be able to get the program to run as-is, but you'll need to open the command prompt with administrator privileges. You can do that by right-clicking the Command Prompt shortcut in your Start menu and selecting "Run as administrator". But this is of course not recommended as you can easily mess up things accidentally from such a command prompt.