The usual causes are that
1. You're trying to play from within the zip archive -> Extract the files!
2. Windows Security is silently throwing a violation about trying to write to the www\save folder -> find it in the Protection History as a "Protected folder access blocked" and choose Actions: "Allow on device".
3. If you're using the itch.io app, follow its instructions and report a bug via Feedback if #2 above isn't the issue.