Integration > Storage Locations is an admin panel in the forum admin – just beneath where you were when looking at the Smileys panel.
Various storage locations (folders on your server) are created – or at least creation is attempted – during the Simple:Press install. Very rarely but every now and then, it will encounter a web server where it is not possible to create those folders due to permission settings on the server. Or – more rarely – the install will be able tp create the folders but not always assign them the correct permissions to make them writeable.
As the message said – the first task is to visit that admin panel and see what is wrong – i.e., missing or just not writeable – and then correct as needed. If exists then the usual permissions used for a folder are 755 and for files within them 644.