I am running TMG 8 under Windows 8 and found the same problem. Even after using Jim's method, I continued to have the same problem. My solution has been to force running TMG as Administrator every time. To do this:
Navigate to the shortcut for TMG
Right click and select properties
Click on Advanced button
Tick "Run as administrator"
Note that if you run TMG from both the desktop and modern user interface you have to make this change to both shortcuts.