Mercury is a server program that interacts via connections, and has it's own storage. Therefore Mercury needs to be allowed to write to disk and be allowed to communicate over tcp-ports.
This means practically that you should open your firewall and the OS-firewall to allow traffic to and from Mercury, and,
allow Mercury to write to the Disk. On Windows 7+ machines, the path %ProgramFiles% is meant to hold only readable program files, and not changeable data. The best advice is to install Mercury outside %ProgramFiles%, and allow the user account Full access to the directory/ies where Mercury and it's data resides.