Well, first of all, you should just use the 'save game' button rather than 'save file' to keep things simpler.
However, if you're trying to save to file, it tells you that save to file MIGHT not work in offline mode when it pops open the window asking for you to name the file you're saving to.
Just enter a name for the file, and it should pop up the standard browser Open File / Save To window that you get when you want to download stuff.
If for whatever reason Save File doesn't work at all for you, and you cannot use Save Game for whatever other reason, then use the 'Save Text' button. The instructions for that are given on the Data page.
"Use the save to text if you are having problems using save to file. Copy the text that appears into a text file, and save it. You will be able to use it with load from file."