The typical reason for this is your data directory at every level is not 777 permissions.
That means the data/2/thumbs directory is not 777
Some other atypical issues would be the file itself is not permissioned right or corrupt.
The server path is incorrect.
Safe Mode is On on the server which prevents operations from being performed.
Basically the first thing to look at is make sure the data directory is 777 permissions at every level.
You can ssh to your server with putty or similar ssh client and issue this command after you have gone to your gallery directory
chmod -R 777 data