Trying to do my first custom story

[Your Computer]

But there was files in that folder. So what does that mean.

It means you have Amnesia installed in Program Files and you lack permission to modify the content of those folders. This also means you're bound to have issues with consistency with your custom story.

You may want to "take ownership" of the folders, or attempt to disable the virtual store. Or take a longer route and put all your files somewhere that you have ownership of (e.g. My Documents) and then copy them over to Amnesia when you want to test it out. Running programs as administrator may also circumvent the issue.