Is it the same with the 'Save As' command? SAI can be quite fussy about where in the directory structure it thinks it is. You could test this by using SAI to open a JPG or something on your desktop, make a quick edit, and try to save it.
Also, what Operating System are you using? I've seen problems like this in other applications, but those were due to Windows' OLE failing, and unless you are pre-windows XP I really don't think that's going to be your issue.
And finally, where is SAI installed on your computer?
Very vexing problem.