In order for MSG Viewer for Outlook to work its magic, the folder containing the converted MSG files must be writable.
The "read-only" or "cannot write file error" can occur when trying to process files from a read-only source like a CD, flash drive, network drive, or read-only folders.
Try copying the MSG files to a folder with write-permissions, such as your Desktop, and try the conversion again. Alternatively, you can choose a different output folder in MSG Viewer for Outlook Preferences. Either way, the folder needs to have read & write privileges -- the Desktop is an easy choice for this purpose.
This Mac support article explains some additional information on how to set folder permissions, in the event that your desired output folder is not currently writable. Please keep in mind that changing permissions will only work if saving files is possible (e.g., not for CD's or other read-only media).