Transport Giant Gold
If you have a newer operating system (Vista or Windows 7), and have installed the game to a protected directory (like "Program Files"), then perhaps the can't deal with UAC restrictions. You could try to uninstall the game, then reinstall it to an unprotected folder, like C:\Games . Also, some games don't like spaces in their folder paths, that might be another thing worth a shot.
Not sure if might help you, but give it a look.
Go to folder where the game is installed (for example, "C:\Program files\Transport Giant Gold") and inside of it create a new folder called "save" (all lowercase). That should do it.
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