This error may appear in the web interface (the full message from LISTSERV is, "Could not open lock file, error 5. Please make sure the upload directory has been created!").  While it may indeed suggest that the 'upload' directory under the WWW_ARCHIVE_DIR directory has not been created, it is also possible that it is the result of a permissions error.  If the 'upload' directory exists, check its Windows permissions for the following:

Administrators: Full Control
System: Full Control
IUSR (the anonymous internet user account): READ, WRITE, MODIFY

Typically, it turns out that the IUSR account does not have the MODIFY privilege, which is separate and distinct from WRITE.

See also 2.9.