I'm playing the game in single-player mode on my own PC. I have Windows XP. There are no 3rd party management programs installed to my knowledge, unless they piggy-backed onto some program as spyware or something. I run Ad-aware and Spybot every so often, you'd think they'd catch anything like that
The only other reason i can think of is: Installing the game in administrator mode (or power user), and then playing it as a limited user. That may cause a rights issue in the OS, where it may not want to allow the person to save to that location (it may sometimes sees that location as protected to the user that installed the game).
But unless the computer is running multiple users in different levels of access rights, or is on a domain, this shouldnt happen, unless there are some 3rd party rights manangement program installed (like the type that makes control panel inaccesible or password protects some programs and directories).
"Net Nannies" are also famous for changing acccess rights to some directories (espesially "program files" which is where the game installs to).