Make code and folder,file like follwing
class Medma_MarketPlace_Adminhtml_ActionController extends Mage_Adminhtml_Controller_Action
Mage_Adminhtml_Controller_Action is a class that many other classes extend so it can't be easily overloaded (similar to base models or abstract classes).
If you really wanted to change this behavior you would have to copy and paste the entire source and place it inside of app/code/local/Mage/Adminhtml/Controller/Action.php.
It is recommend to follow "proper" Magento convention and implement the _isAllowed method in your custom controller classes. For securing 3rd party modules, the above approach will work but you will purposely make upgrading more difficult. A "cleaner" approach would be as you mentioned to rewrite each specific route's controller. This could involve a lot of effort and time, you have to draw the line appropriately for each project.
Source : How can you override Mage_Adminhtml_Controller_Action