I'm sorry, but I omitted a step. Go to the My Documents "Sharing" tab once
again. Click "another folder" (blue, underlined text) at the bottom of the
window. The checkbox should now be enabled.
You probably have a FAT32 file system. FAT32 does not support permissions. To
check which file system you have, go to My Computer and click once on your
hard drive. Look on the left side of your screen, under Details.