ajarn al

You say you have saved the edits to setup. I assume that the values you entered are there when you re-open the program.
If yes, then you have full rights within the C:\Ezilathe directory, and you might try a gcode save here, to find if you can see it in the load dialog, as well as in windows.
If all is good here I would check your rights in the directory you use, and check you are actually saving where you think you are saving.
You might also check the recent files dialog for your file. If it is listed, you should be able to see it in your directory, as it has not failed to save.
You said you searched, and could not find. Are you using windows explorer or similar, and do a global search.
What version of windows are you using?

The initial directories are set to C:\Mach3\Gcode. Does this directory exist?
What File extension do you use (.txt, .tap etc).

Once you do get it working, and you are using very different directories, simply reopen the last file from the recent files dialog. This will make that directory your default.

All very strange, not come across this before. Let me know if you are still having problems.