C:/GOG Games

Save a game
don't exit the game, but minimize it and go to the save directory to see if the save file is there

If yes:
copy the save file and put it to another temporary directory for safe keeping
exit the game and see if the original save file disappears
if it does disappear copy the save file from the temporary directory back into the save file directory
launch the game and see if it's still there and will let you load it
if it disappears when the game is launched, see if you can minimize the game and copy the temp save file into the save directory and try loading it again.

may be a pain in the backside, but at least you'll be able to save your progress. this may be a temp solution, but it's better than nothing.

If No:
if the game is not making save files at all (make sure you check all the game's directories and the top directory of C: because it might be saving them where it's not supposed to, and then can't find them when you try to load them), I suggest checking to see if your game directory is "read only" (which wouldn't allow the game to write the save files).
go to the game directory
right click on the folder
select properties
under the general tab look to see if the Read-only box is checked
if it is, uncheck it and click apply
make sure to say yes if it asks to apply the same properties to all subfolders and files

Otherwise Tech may have to look into if there's something wrong with the code in the game that doesn't allow it to write save files.

I'm having the same problem with Duke Nukem II on the Mac. The game is in /Applications/Games/Duke Nukem 1+2/Duke Nukem 2.app

is the directory properties "read only" ?

I think it's worth noting that DN II lies to you when it says it's saving the game, because you have to properly exit the game (eg, quit to the main menu, and then exit to DOS) in order for the save to persist. So if you save the game and then quit the game by quitting DOSbox instead of quitting via the game's menu-prompts, you'll lose your save.

This bit me in the ass when I was playing through DN II a little while ago, and I lost a substantial amount of progress. Although, luckily, I figured-out the save file format and how to edit a save to take me to any level I want.

If you want to go this route and edit what level you're on:

1) Start-up DN II in the chapter you want, save the game, and then properly exit the game. After you do this, you should see a file called "NUKEM2.-S1" (where '1' represents the save-game slot). This is your save-game file.

2) Download a hex editor, such as HxD.

3) Open the save-file in the hex editor, and navigate to the offset 0000000A. To do this, just hit Ctrl+G and copy/paste that value into the dialog box. Hit 'OK'.

4) This offset in the save-file represents what level you are currently on. It should currently be on '00' if you saved on the first level of the chapter, since it counts-up from zero.

So:

00 = level 1,
01 = level 2,
02 = level 3,
etc.

Let's say you want to go to the sixth level of a chapter. To do this, you would go to the offset we mentioned earlier, and then type: 0 5. After you've done with, save the file, and you should be good to go when you next load that save in DN II.

Here is a screenshot of what I just detailed. It shows what value should be entered into the Ctrl+G offset dialog I mentioned earlier, and the value at 0000000A being edited to 05, which means that we will be on the 6th level when the save is loaded.

Let us hope this post has been useful.

I'm having the same problem. It does create a save file, but it doesn't list it as saved. I have windows 8 and the game is installed in C:\GOG Games\