Hi. This usually happens because the game doesn't know what default folder to put the save file in so it just quits. The way to fix it is to load a file first. The game will then remember the last folder it loaded from and save there in future. Here's a test level for you to load.
https://www.dropbox.com/s/0nwb8e0rli83krp/test.txt?dl=0
Just download it and put it into a folder on your desktop.
BTW this problem will be fixed in the next version.