http://learn.elgg.org/en/1.11/intro/install.html#create-a-data-folder

Hmm .. Doesn't work for me .. ?

 * http://www.noelshack.com/2015-20-1431884417-sans-titre.png

Read docs again:

For security reasons, this folder MUST be stored outside of your document root. If you created it under /www/ or /public_html/, you’re doing it wrong.

View my reply also

• You need to create the data directory on your own before starting the Elgg installation (for example with filezilla).
• The data directory SHOULD NOT be inside the public_html directory (security). Create the directory above the public_html directory.
• Acess permissions of the data directory need to allow the webserver read and write access to the data directory. So, you might have to adjust the permissions after creating the directory.
• You need to provide the ABSOLUTE PATH to the data directory you've created on the installation of Elgg.

If in doubt about how to create the data directory and what the absolute path is then ask the support of your webhoster.