StephenMartin wrote:

What am I doing wrong?

You might be using a set of slow proxies in WebSite Auditor and/or updating a lot of ranking factors that take a while.
Please click "Enable Expert options" when you create a project and uncheck harvesting of all ranking factors (you can harvest them later) — that might speed up the process.
If you're still getting the error, please click Help -> Send project to support, we'll check your logs for possible errors.