What version of UBB is this for? Assuming its 5.46 and higher in your general settings in the URL's section is a field for entering the url to your privacy statement. You'll need to create an html page and upload it somewhere on your server. Then type that address in the privacy URL field. Sounds like you either didn't upload a privacy statement file (you have to create one) or you didn't get the URL location for the page correct.

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Doug
darksaber.hispeed.com
One Ring to rule them all, One Ring to find them,
One Ring to bring them all and in the darkness bind them
In the Land of Mordor where the Shadows lie.