I know it's early on but I want to be on the look out for random death scenes since those are inevitable in this type of games, but I'm kind of confused on how to save. Whenever I press Save in the menu it says to "Move bookmark to present location", I can't see anything to move and whenever I press the text the dialog goes away, accomplishing nothing.
What's up with that?

Oh nevermind, apparently you can have only one save per game and clicking on the "Move bookmark to present location" button saves the current player location.
What a weird little save system.

Yeah, I kinda expected the game to pull more dirty tricks on you. I marked your post as a solution since I couldn't mark mine, so there shouldn't be any other people having hard time figuring out the save system.
I just realized that at certain point in the game, if you fail, the game deletes your save and you must start a new game from the same chapter.

Yeah this happens at a certain point, but thankfully you can skip certain animations so that you don't have to endure too much repetition. I'm not a big fan of trial and error but the payoff feels really significant when you beat it!

I cannot save in Phantasmagoria 2 at all. I only managed to get it to save once, and then it replaced my save with a file called Bookmark (Protected), which I can't do anything with. I've not been able to delete it, overwrite it, or even get another save to work past it. I've seen other posts about there being an option "Move bookmark to present location", but I don't see that option anywhere when I go to save.

I guess I could try to play the game in one sitting, but it's darn frustrating.

I'm running the game on Windows 7.