Are you using Vista/Win7? Run the Loader as an administrator - Click on START > All Programs > Captain Sim > Weapon for FSX > Right click on Loader and select Run as administrator from the list.

If you are using Vista/Win7 AND FSX installed in the default location (C:\Program Files or C:\Program Files(x86)), go to where FSX is install, find fsx.exe, right click on it, select the compatibility Tab, select Run as administrator, click OK.

It could be worth doing the same thing to the Loader as I describe for fsx.exe. That way the Loader will always runs as an administrator when you use it.

Mark