It sounds like it might be some issue with file write permissions when the game is trying to save!
Have you tried running the game as an Admin? You can either do this by running Steam itself as administrator, or by starting the game directly from the folder by right clicking and selecting "Run as Administrator"! (To find the game's install folder, right click on the game in your library, select properties, go to Local Files and then click Browse Local Files to open up the folder)