When the game is first launched, it will generate a new folder (if it doesn’t already exist) and four sub-folders.
These folders normally have the necessary permissions on Windows and Mac to create new save files. However, if you find that the game is not actually saving your games (both auto-save and manual saves), then the permissions on these folders are probably too restrictive. Try this:
1) Find that WolfQuest folder again in your UserDirectory/Documents or My Documents folder.
2) Right click on that folder and open Properties, then Permissions, and see what those are set at. Try to change them to Read and Write. (Specific procedures may vary by Windows version.)
3) Run the game and try saving again.
If this doesn't work, please submit a but report with the log file, following these instructions.