The first time you started the console, did you right click on the colsole icon and select "Run a adminsitrator"? If not, it probably does not have permision to create the config files. I ran into this with Windows 7 machines when the console was installed. Also note that going to Start - All Programs - LANDesk - LANDesk Service Desk - Console on a 64 bit machine will only run the 64 bit version of the console. The 32 bit version is there but will only start if you navigate to the directory and start it from the directory.
Of course like you said, it might also be that your missing permissions to some folders.
Thanks for that Carl but no joy, I thinks there is something more general going on with the server as I get the same error in Console and WebDesk, the joys of Windows 2008.
I discovered the cause of the error, it was the application of the 7.3.1 patches, i.e. the new dlls. Merely copying the dlls on a Windows 2008 server is not enough, as I was copying from a share on another server the dlls need to be unblocked.