I don't know if anyone else has this, but the game doesn't save my progress. Every time I close the game, all the saves I had all disappear when I open it up again (I do always extract with WinRAR and open the game that way).
If you extract the game to a separate folder, the game should keep your saves just fine, no extra extracting required. Just make sure that all of the files are in that extracted folder and you should be good.
