If you have tried to convert the module\file and it is in the e-Sword folder then depending on your user account settings, it can only be written to a VirtualStore folder, for safety reasons.
Note: Official modules\files that came with the e-Sword installation or are ones downloaded though the e-Sword built-in downloader cannot be converted.
%LOCALAPPDATA%\VirtualStore\Program Files (x86)\e-Sword
If you put this into the file explorer bar and hit return it will take you there.
Move the module\file into the normal e-Sword folder.
To avoid this happening in the future move the module\file you want to convert to the desktop and convert it there, then move the converted module to the e-Sword folder.
or running the converter as administrator, should allow it to write the module to the e-Sword folder. If you are not sure where this is for you then open e-Sword and in the main menu go to Options -> Resource Settings. At the bottom of the Resource Options window you can see (but not go to unfortunately) the path of the Resources Location.
If you don't know how to move files about the file system then I suggest you Google, "How do I use File Explorer in Windows", and watch some videos. Or ask a friend to show you.
Beware that you should delete or move the original module\file so that e-Sword does not have two of the same module\file. I usually just put an underscore after the file extension so kjv.bblx I would make kjv.bblx_