Check the permissions on the policy folder itself, and the subfolders for the folder redirection.

Get the GUID of the policy you know some ugly {123-45-122563-992889Oad} looking number.

Find that folder in c:\winnt\sysvol\sysvol\domainname\policies\{GUID}

then in there, check the permissions and attributes (read only) in
User\Document & Settings & fdeploy.ini in that folder.

I was having the same problem (copied policies from a CD, and they kept the read only attributes).

-Gurn