If I guess that you're playing the Windows version, I would suggest that the difficulty is that the game isn't able to write to the program directory, where the Windows version of VV1 stores its save files. I have addressed several causes in
this answer in our Support FAQ. If you're running Windows 7 or Vista, there could be additional considerations.
In order to assist you properly (without guessing), we will need to know which version you're playing (Mac or Windows) and which 'flavor' of the OS (Vista, Snow Leopard, etc.). It makes a difference.