Thanks for the help. I didn't realize it would try to save the game in the install folder (I'm so used to having games and applications save stuff in user-specific "application data" folder under XP). The user (my daughter) didn't have sufficient modify writes to the install folder.
Once I fixed that, the game saves properly.
Note that it did not complain when it couldn't create the save game file, it just silently exited without saving. I wouldn't call it a bug, but if the game isn't going to use the standardized area for saving this stuff that XP provides, maybe it should be more verbose about failures...?
Thanks again.