Had same problem as TO. I originally let TSL decide the location for the installation which is a MS windows folder.
I just tried the solution suggested in a sticky thread further up and it worked! Thanks!
The problem really appears to be the windows directory. I re-installed TSL on another partition and the game saves just fine.
On my PC the tsl.exe is in a hidden folder that I had to make visible to get to tick 'administrator'.
The path was C:\program data\microsoft\windows\start menu\programs\phoenix online.
During the problem, the games did not save at all - I searched hi and lo.
I'm on win7 64bit version.