Are you using Windows XP? And probably NTFS as the file-system too? That's probably the thing. I'm not 100% sure, but think that even with DosBox games cannot save any files on NTFS. You need to convert the file system to FAT32, that could also mean you need to deinstall and reinstall Windows XP during the process.
Probably there're some programs on the internet that can do that without the need to remove anything, though.
