[color:"orange"]Occasionally when I save my game I get an error message.[/color]

The game saves to a temporary folder first, then deletes the existing save, then renames the temp folder (or moves the files, don't recall). This helps prevent damaging a working save if for some reason there is a problem during the save process.

I'm not sure what would prevent a save from deleting. If part of the game got hung up and kept a lock on the files, you'd think that would effect subsequent save attempts. Maybe something was still hanging on from the last time the game was saved? It may be Windows itself having a problem.

Are you shutting down all non-essential programs (especially anti-virus) before starting the game?
If you reboot the computer, does that allow you to delete whatever would not delete after exiting the game?

Try running a ScanDisk (right click on the hard drive in Windows Explorer, select Properties, switch to the Tools tab, and hit the Check Now button in the Error Checking Status section).