If it only "plays from the disc," it sounds like you may have never installed it.
If I remember right, the game didn't require the disc in the drive to play, and
that is confirmed in ***MaG's walkthrough***
where she says:
"The game is in 4 CDs and can be played without any CD in the drive."
If you play from the disc, the game will try to save to the disc --
and of course it will fail because your computer can't write to a manufactured game CD.
Try installing by right-clicking the Setup file on the CD and changing the compatibility
to either XP or Windows 2000 before running the Setup. You may also have to
right-click the Setup and "Run as Administrator." Don't just use the autorun
because that won't let you "Run as Administrator."
You may also have to install the game to some place other than
the default C:\Program Files location -- either to another drive,
to another partition (not C), or to your (My) Documents folder.
Some people install their games to an external USB hard drive.