[excel] macro run-time error '9': subscript out of range

When you get the error message, you have the option to click on "Debug": this will lead you to the line where the error occurred. The Dark Canuck seems to be right, and I guess the error occurs on the line:

Sheets("Sheet1").protect Password:="btfd"

because most probably the "Sheet1" does not exist. However, if you say "It works fine, but when I save the file I get the message: run-time error '9': subscription out of range" it makes me think the error occurs on the second line:

ActiveWorkbook.Save

Could you please check this by pressing the Debug button first? And most important, as Gordon Bell says, why are you using a macro to protect a workbook?