What operating system are you using and where are you trying to save it? Windows 7 does not let you save in certain folders even though the save file dialog will let you browse there.
Does the dialog box just exit as if everything went perfectly normally, or does it give you any kind of error message? If there is no error message, it should have worked and changed the title bar name in the editor. If it doesn't behave that way, I'd call the Mathworks.