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dyoo78:
The most probable reason you're seeing this is that you have your site defined to use the default theme (which by default is non-editable). To correct this, go to System Admin > Templates, use the option to clone the default theme. Then go to System Admin > Preferences > General Preferences and make your site use not the default theme, but your recently created clone. Once you do this, you'll be able to do what you tried to do.
Cheers.