Other than making sure the folder isn't set to "read only", I'd check where you installed the game (is it an important folder for the operating system, or something?) the antivirus (is it blocking/deleting the save files?) and perhaps try running the game as an administrator. The game works on basically any system I heard of, and RPG Maker is a fairly stable product, so it's likely some unexpected interaction on your side.
Another thing I would try if you have access to another PC is to check if the same problem appears on that one as well.