An beeping error noise when you try and save? That's a new one...
Well, my first suggestion when it comes to saving issues is to double-check that you properly extracted / unzipped the game when you downloaded it. The game won't properly save if you're playing it out of the compressed folder... so do double check that.
If you've already done that... does the game give you an error message at all? Or your computer for that matter? What operating system are you running the game on? Gonna need some more details to try and work this out...