If it was write protected, you wouldn't have been able to change it in the first instance, but that's a good thing to check.
if you are on windows 2000 or nt:
c:\winnt\system32\drivers\etc\hosts
if you are on *nix:
/etc/hosts
If you mean you can see the file, but can't save it, you need to do it using whatever editor you did last time. I simply used notepad:
windows key + r
notepad c:\windows\system32\drivers\etc\hosts
If it says you can't save it and its not write protected/read only, you are either:
using the file elsewhere in some other program, close it to release the lock
you have an overbearing security package that has locked it, close it to release the lock
windows has it locked, clos...
, you'll probably have to reboot...
BTW a nice freeware utility to check for locks is called Process Explorer.
Download that, go to find>Handle or Dll and type in c:\windows\system32\drivers\etc\ and hit return; it will tell you what is using it.