The "missing file privileges" error message generally happens when the person's Windows User Account has not given their Steam client the proper administrative permissions it needs to read/write to the hard drive.
Please follow these steps to resolve the issue:
1) Run the Steam client as an Administrator
- Fully close out of Steam and restart your computer.
- After restarting your computer, right-click on the Steam icon > select "Run as Administrator"
- If that does not work, go to step #2.
2) Run Don't Starve Together as an Administrator
- Run Don't Starve Together dontstarve_steam.exe as an administrator in your game folders (Steam\steamapps\common\Don't Starve Together\bin\dontstarve_steam.exe)
- Right-click on it and select "Run as Administrator"
Should the issue persist, your next, best step is to contact Windows Support for technical support regarding Windows User Accounts missing file or administrative privileges. Microsoft Support: https://support.microsoft.com/contactus/