The .sma file must be in the "scripting" folder of AMX Mod X for it to compile correctly. Also, I've had issues in the past where I did not have permission to write to a folder (via a script) in the Program Files directory. If moving the .sma file to the correct location doesn't fix the error, move the AMX Mod X files to your documents and try again (with the .sma in the "scripting" folder).