Also, I am working with a small-ish hard drive on my system by today's standards (but it was great when I bought it five years ago) so right now all of my gaming stuff is kept on an external drive.
For that reason, since Windows 2000 and NT first came out, I have intentionally avoided installing anything related to video games to the 'Program Files' directory.
Sometimes this iron-fisted control-freak nature of Windows over its Program Files folder can cause strange things to happen when you try to save your game, or when you try to run your game, or when you try to setup options in the config program before you run your game. Perhaps it is the location where you have your Steam files? Windows - by default - tries to install EVERYTHING into the 'Program Files' folder on your hard drive, which is hard-coded by Windows to have all of its contents locked as 'Read-Only' and you need special permissions to change any of the folder contents. Works fine through Steam for me, after I set the run as admin and the compatibility mode, and then I had to go into my NVidia (or AMD if you are running a Radeon) Command Center to force it to run on my 3d gaming GeForce card instead of using the crappy built-in Intel HD graphics.