It's possible that it either fails saving the file (no permissions) or it thinks there is no folder, see if you can create the folder "ManicMiners" in "My Documents", and then a folder inside that called "Levels", and try again
The ManicMiners folder is there, but no Levels folder, I'll create one then save a test board, update with an edit.
Update, has the Levels folder, but still doesn't save the level, only thing in there is an Text Document labeled 'Empty!
