I think it's to do with permission. If you're using a guest account which would prevent Renpy from saving there or something that doesn't have "write permission" to wherever the save directory is located.
On Windows, your Ren'py save files can be found in the following folder:
%APPDATA%/RenPy/game_directory
Please, check the permissions for the Renpy folder and the folder above it to make sure there is both read and write access for it. And make sure your antivirus isn't blocking Renpy from reading and writing. Have you tried changing the windows user or running the game.exe as admin?