Ok, let's start over shall we?
I've retested the game to be 100% sure of what I gonna say here ....
First of all: delete ALL your old game folders, something is completely wrong anyway.
Keep your c:\users\your name\oldgames\
Reunzip the original downloaded archive, in that archive there is one folder named COK, you must end with:
c:\users\your name\oldgames\cok\
Be sure to use a good unzipper, that can handle the directory structure in the archive,
not the Vista one, that's too basic.
7zip does a nice job:
http://www.7-zip.org/
Something as:
Run dosbox, mount c:\users\your name\oldgames\ as C: in dosbox, do a
cd cok
start
That's it, all works flawless, game save and all, no need to edit the cfg file or whatever.
The game, after creating/adding/saving and a restart:
'Covenant' player loaded:
Folder structure with saved games:
No problems whatsoever, so : start over from scratch friend.