You've properly attempted to save the game, so that's not the problem.
Notrium saves games to its folder in Program Files, which works perfectly in Windows 2000/XP. However, Windows Vista/7/8 blocks write access to those folders for normal programs.
What this means for you is that you will have to either run the game as Administrator (Right click -> Run as Administrator), or reinstall it to C:\Games\Notrium. (I'd recommend trying the former to confirm that it's the problem, then doing the latter. Running random programs as Administrator is a security hazard.)