Dynamics GP - Yes to include new code - Privilege Error

This error occurs when you are trying to install a cnk file.
When you run Dynamics GP it prompts to include code, when you click yes, it pops a message saying "Privilege error"

This is because Dynamics is already running, and the files are locked.
Check your task manager for any sessions of Dynamics.exe that are running. Make sure to close any open sessions before attempting to run GP again to install the cnk file.