Did you try to sudo the installer. The error suggests that you have insufficient permissions for that file/folder.
Just try to run:
sudo sh veetle-0.9.17-linux-install.sh
Ok. I did a little more research. The error still suggests that you don't have the rights to modify the time via utime when you "untar" your program via the script.
I tried to install Veetle on my Ubuntu 10.10 box and it worked flawlessly. No problems at all.
You can check if you somehow mounted your filesystem which you are going to write on in a strange way. That could cause the error.
Additionally I found some help here. You could try to add to add '--atime-preserve' to tar inside the script. If you are unfamiliar with bash, here is the script with the parameter added: http://dl.dropbox.com/u/699970/veetle-0.9.17-linux-install_mod.sh
If this still does not work you can manually extract the tar to the correct location. Hit me up if you need help with that.