Make sure you don't install the game into the default C:\Program Files because modern Windows will prevent programs from making changes within the C:\Program Files folder (like creating saves). Tunguska was made before Windows did this.
Try installing Tunguska to your user's My Documents (or Documents) folder. You can also try running the game as an administrator by right-clicking the shortcut and choosing to run as administrator.
Since the game was made for XP, you might try using Windows 7's compatibility mode (right-click the shortcut, Properties, Compatibility tab, set to XP and OK it.)