Short version of the long answer is that windows 10 locks down the ability to "write" files unless they are in specific directories. To avoid these problems with "older" software, they should be installed in c:\program files (x86) which is reserved for exactly this purpose. By default, NWN Diamond installs directly to C:\ and windows 10 won't let it write the config files and stuff.
To fix without reinstalling it into the x86 folder, go to the c:\ and right click neverwinter nights folder and do porperties. Go to the security tab and find your user in the list and click it. At the middle or bottom you want to change permissions to allow full control.
Alternately, if you are using the direct connect to the game exe, you can right click your shortcut and click to run as administrator and that should fix it too. If you try that on the main launcher, I don't think it works because you end up running the launcher/menu as admin, but when you navigate through and start game from the menus, it doesn't start as admin.
