Oh ok, I see where the issue is.
You need to unpack the game - you've been running it from the zip file the entire time, no wonder it can't save. Unzip the file (you can use the default Window's unzipping method, or download WinRAR), pick a nice location on your PC, and the game should function as normal.
Since you already played before, I recommend saying 'yes' to having played the previous beta as it'll start you with some gold/exp and you can select which chapter you want to read in the menu.