The answer to your first question is that if you don't patch the game you need to set all the TGA files in the BMP\HUD sub-folders to read-only.
Your other troubles seems to have to do with the game folder or any other folder therein are set to read-only, or it might even have to do with the "special" settings for the Program Files folder in Vista/Win 7. The best thing to do is install the game in another folder.
If that doesn't help, try putting the requested/missing files in the folder specified in the error message, in this case C:\windows\system32\. You still need to run the PatchMe.bat from the game folder, but the packer script should at least do what it was supposed to do. Hopefully...
