Old error I had too when I first tryied to play Settlers 2 Gold.
Check the save folder and make sure they are not flagged as "write only" in the properties. If they are the game won't be able to overwrite the files, thus won't be able to save.
If I remember well, my archived file had all those files flagged as "archive", which achieve the same result.
Under WinXP, you should uncheck "read only" in properties. It should do the trick.
Happy playing.
k: