Problem: Pyramid files (.rrd) are not written to same directory as the image
When building pyramid datasets, the .rrd file is written to the Raster Proxies folder rather than the same folder directory that the image is stored in.
The image is Read-Only.
Solution or Workaround
Go to Windows Explorer and navigate to the image. Right click on the image, and click Properties. In the Properties dialog, click the General tab and uncheck Read-Only.