At this point are you still having the trouble getting the game to start? Or is your only trouble with saving?
Kaki's Sister is right about the "Save" function. There isn't one because the game was conceived as an online game and no save was built in. You can save your location using the Journey cloths, but there is no traditional save feature.
One walkthrough that mentions the Journey Cloth is herehttp://www.gameboomers.com/wtcheats/pcUu/Urubeyond.htm
If you scroll down to the FAQ section it says
Q: How do I save the game?
A: Unfortunately, there is no way for an user to save the game when he wants to. :p The game automatically saves any change you make to the Ages, and the Journey Cloths save your position within an Age, enabling you to return to it by linking from Relto. By default the game always loads to Relto Age.
And on the ***Ubisoft website***
While there's no function key for saving game progress, all versions of Uru autosave on-the-run during game play. However, unlike many other games, with Uru you can't directly access saves as such from an in-game menu. Until you solve the Desert Cleft puzzles to obtain all of the initial seven Journey Cloths and link to your Relto (personal Age), you'll begin each Uru session where you started in the Desert. Thereafter, you'll start the game at your Relto, from which you can use the Linking Books to link to the Ages you've visited.
So until you reach your Relto, you essentially have to start the game all over again each time you start the game.
It's too bad the game was designed this way. Cyan overestimated both the speed of Internet connections and the speed of the average Myst player's computer (and video card) when they designed the game.