That is strange as internally we are using the short 8.3 pathname. This means that the path the game considers could look like this:
C:\Users\1D6F~1\AppData\Roaming\MILLEN~1
I don't know why this conversion fails, but luckily there is a feature in the program you can use where puts save games in a subfolder to the game directory:
- Make a backup of Millennium.ini (just in case)
- Open Millennium.ini
- Add a new line at the bottom: local_saves=1
Note that you may get a permission denied error. If this happens then it's because the game needs
Administrative permissions to change/create files under the Program Files directory (I.e. run as administrator).
I suggest that you copy the whole game to another place where you don't need to run the game as administrator.
Let me know if you can get it to work.