You need to change to that directory and then run the program after changing permissions. You will become a super user for this purpose.
I am assuming that you can navigate to that directory in Windows where you saved that file.
Now, go to that directory and open terminal on the other side and type
and drag the directory in which your .c file exists into the terminal. If your file is in Windows Desktop, the terminal will look like this:
Now, let's say your file is test.c, change the permissions of the file and see whether it works using this:
sudo chmod 755 test.c
Now compile and see whether it works, if not do the same for a.out too.
If that didn't work, I guess it means that the drive permissions need to be changed.
For that the command would look something like this:
sudo mount -t ntfs -o rw,auto,user,fmask=0022,dmask=0000 /dev/whatever /mnt/whatever
where 'whatever' depends on your system.
The instructions for doing that are here and here
If that's not what you are talking about, then you should do what mbs said.