Make sure you unzip your game before playing. You cannot save if it's still in the zip folder.
When you downloaded the game, you downloaded a ZIP file. Right click it and select something that looks like 'extract' or 'unzip'. Then choose your destination folder and the game will be unzipped. Then you can finally save :)
You can also simply download the game through the Itch app and not have to worry about extracting it yourself!