Your best source for help is the person who developed the game. You can contact him at the email on this page
http://www.lasthalfofdarkness.com/support.htmHe usually answers very quickly.
I can only guess that there's something that's preventing the game from creating saves properly. Running the game as an Administrator (right-click the game exe and choose to Run as Administrator) or making sure the game is not installed in C:\Program Files or C:\Program Files(x86) might help (which would require uninstalling and reinstalling the game if it's in Program Files) might help, and it may be necessary to disable your antivirus while installing and playing unless you can adjust it to allow the game's actions not to be blocked.