Here is the error:

C:\> gcc test.c -o test.exe
     rename of test.000 to test.exe failed
     The error was: Permission Denied (EACCES)

What is going on?

the source to test.c:

#include "stdio.h"

void main()
{
printf("Hello!");
}

This happens with any program I try to compile and/or link, especially Allegro.
What is wrong?
(By the way, I hope i've given you enough information)

I get this error a lot, and usually when working with Allegro under windows.  It
also only happens after I crash the program.  I don't think anything of it 
because when I crash my program (espically when due to pointer errors), I
expect the system to become unstable.  I either close the MS-DOS box and reopen
it, or I ignore it.  Although it says that there is an error, I have found that
the program still compiles correctly w/o flaw, so you CAN ignore it, but keep 
in mind that the system is unstable.
These are my best guesses towards this error . . .

I don't know much about Allegro, but there's another reason that
has led to this message, before: a virus scanner going berserk.
Some antivirus programs try to protect against infection by not
allowing write access to executable files in what they think are
'suspicious' ways. So they disallow DJGPP's stubify to rename 
the generated file from a non-executable to an executable extension.

I tried to ask the original poster whether this may have been his problem,
but got no reply.

Both of the notes seem to indicate that this is not a bug in DJGPP.

If this kind of problem happens after a crash, it probably means the
crash left the .exe file open by the system, and therefore Windows
disallows write access to it.  If it's a virus scanner, it simply
won't let programs write to a .exe file.

So I'm closing this until such time as somebody comes with a reproducible
scenario.