it may be a permission issue if you are trying to save in protected OS folders , try run as administrator to make it work, else try to save the files in your documents folder or any other partition
better you create a folder in D: and renames it Sprites then choose it as the default and press [Ctrl S] or navigate to C:/Users/Username/Documents and choose it as the default folder , you can't save to C:/ or to any other folder in C:/ without permission but it doesn't apply to User folders