Did you unzip the game folder before you started playing? Cuz we've been getting this report multiple times, and each time it was because the person ran the .exe from within the zip/rar file.
Yes? Because save files in RPGMaker games are stored directly within the game's folder itself. However, the contents of zip/rar files cannot be altered, so you cannot save if you play the game without unzipping the game folder first.