Well, I am not french, but can you try to download it from the official glest.org and make sure it is 3.2.2. The version you downloaded is 3.1.2 which is old, and thus why you should always use the official site. I think the problem is that glest does not have permission to open this file and write to it. On windows, right click, properties, security, then add your users name and give them full control. On linux, you'll want to set that numbers thing so that there is the correct permissions. I only know how to use that for web servers, so I may be wrong, but it should be permission 777, whicvh is universal full control. Try that. If you are on a mac, I got no clue, but google might help you.
To set the french language in glest after, open the glest.ini found in the folder that you installed glest into. Look for languages, and change it to be the french file name, as found in the data/languages folder of glest. Tell me if that helps, or if something else goes wrong, describe it to me and I'll see what I can do. If it fails, please post your computers 'stats'.