That is very odd. You're not running the web version, are you? You downloaded the "windows" version? I don't know how you would be able to load from a save file without the game making a save folder to put said files. Did you check for the folder after saving and closing the game, or after saving while the game is still open? I'm wondering if the save folder is created and then deleted for some reason. And I assume you tried the two possible solutions I mentioned to no avail? Just want to double check that those didn't work.