In most cases, the error is caused by foreign systems not having a folder called "Program Files". GameGuard tries to copy files to this folder, but it fails as the folder doesn't exist on several non-English operative systems. To fix this, simply go to your C:\ drive (or any other drive where you might have Windows installed) and create a folder called "Program Files". Then try updating GameGuard again, and it should work.
If you already got the file, I dunno whats wrong.
Also this thread is 2 years old. Be careful of the mods :)