You don't want it to be read only. What you can try doing is deleting odamex.cfg entirely. If that fails, uninstall Odamex and reinstall it to a place that is not Program Files (or Program Files (86), if you're on Windows Vista/7/8).
As for loading pwads, do not use the drag and drop method. Instead, you can load pwads through the Odamex console. For example, use "wad doom.wad" to switch to doom.wad from doom2.wad. No quotes. Use "doom2.wad av.wad av.deh" to load pwads, etc.