In Windows Vista, even running as an Administrator does not actually give you administrator permissions -- to get them, the OS will prompt you for permission. The debug.err file is currently under c:\Program Files, which means the application cannot write there normally (it can obviously read the config files there just fine).
Debug.err probably needs to be changed to go under the current user's documents/GalCiv games. And any other file that would be modified by the game itself, if it's not already in the right place (configuration, etc...)