you can't save while in dialog or within a scene. you can press escape when you control your character and run around with him
make sure you are in free roam mode and don't have the shift or control key enabled (also make sure the game is properly unzipped).
It is not in the options tab, there is a seperate menu for it. it says "Save". You either click on it with your mouse or you use the arrow keys to get to it