If you have used Unetbootin to setup a Live Ubuntu Environment, you will find that the partition containing the Unetbootin files will be mounted on /cdrom as read-only, which means, even if you launch nautilus with gksu or sudo, you will not be able to make changes to the file-system. There is however, an easy workaround which involves remounting the filesystem with a single command. Open up the terminal and type in the following:
sudo mount /cdrom -o rw,remount
Now, you should be able to write into the filesystem.