Actually I think that message is generated when the XXX_Data folder (with XXX the project name) is readonly, or more precisely the CWSettingsWindows.stg file it contains.Do not place the XXX_Data folder or any file it contains into the source revision control ...
You were right, it was the CWSettingsWindows.stg file in the Myproject_Data folder that was read-only. I originally thought it was the .mcp file (which was checked out from sourcesafe and was readonly), but clearing that didn't help. ...