Hi,
When saving a project you need to specify the full path i.e. C:\Users\JohnG\Pictures\Nebulae\Orion.pixproject
If that does not work then it would seem that you are perhaps trying to same the images in a Windows "restricted area" like \Windows or \Program Files. The other possibility is that you do not have "Administrator" access to the folder. Using Windows Explorer, try create the new folder in the "Documents" or "Pictures" sub-folder and now save your project into this newly created folder.
Hope this helps
John