I had problems before with games who never wanted to save. The problem been solved when I discovered that the archive flagged the save files as read only :not_ok:
Answer to this problem (on XP): select all the game files, right click on them, then go to properties. Then you should see at the bottom several boxes. Be sure Read only is not Xed. You might want to do this only on the save files (usually on their own directory) or on all the program files and subfolders, at your leizure.
Answer to this problem (on DOS): go to the game directory and type attrib -a *.*
I am not 100% sure about the DOS command because it been an awfull lot of time since I last used DOS... But if you know how to use DOS, you should be fine managing to understand how Attrib works...