Please first check that the game has admin rights.
On Windows 7 and Vista you can check that the game has administrator privileges, by right clicking on the shortcut to the game and choosing Properties. Then choose the Compatibility tab, and finally choose Run this Program as an Administrator.
OK this screen, then try the game again.
If this doesn't work, find the Agent program, which can be found here:
C:\Documents and Settings\All Users\Application Data\Battle.net\Agent
And try removing this folder, then try the game again.