To make sure, if you open up the folder Tailor Tales is installed in, you can browse to this location:
Tailor Tales > www > save
If this folder is empty, a save file isn't being created. You can start a new game, and as soon as you are able to save, save the game (click the cogwheel in the top left for settings, then click the save option). Check the folder; is it still empty? Or does it contain files?