You've obviously uploaded the XF files correctly to your FTP. If you look at where you uploaded them, is there a directory named "data" and another directory named "internal_data"?
If not, you should create them using your FTP program.
If they are there, you will need to set the file permissions on those directories to be world writable. This varies from FTP client to client but generally it's a case of right clicking on the directory, going to permissions, and either typing 777 or 0777 in the text box or clicking a series of checkboxes (click all of them).
Doing that should make sure those directories are writable then you should be able to continue with your install.