Hmm... Make sure you keep the game and all of its files in the same folder they came in; moving them around may cause saving issues. After you start the game for the first time, it should create a folder called "Save Data" with the save files within. If it's not there, you may need to run the game as administrator to give it the privileges it needs to create the folder.
Sorry for the trouble; I hope you're able to save soon. :)