I have the same problem and have tried everything bar a reinstall which I am doing now.
It seems to be tied into DOSBox.
Found this on the Sierra Help forum:
"I have found that it has to be something with how the DOSBox setup is working. When I run the game from the discs on an XP system as originally made with the sierra installer, it gives me the option to save like expected. When I run it from the downloaded DOSBox installer that allows you to have no CD's inserted is when I get that saving game error message."
That was from November last year and was never resolved.