I downloaded it after purchasing from itch.io to my desktop. I run both mac & windows. There is no save folder.
You can try two things:
- Move all the files ("Deaths Life.exe" and the folder "Deaths Life_Data") to another folder, away from desktop, and try to run the game from there.
- Try to run the game as administrator: right click "Deaths Life.exe" -> Run as administrator. Click Yes on the dialog.
Seems that you don't have permission to save data on the Desktop, then the game can't create the save folder and files.
You can also download and install the itch.io app for Windows, using it you will have automatic updates for the game in the future: https://itch.io/app
Let us know if worked.