So I downloaded the game, and started it from WinRAR, and started playing it. I got a pretty great save, having gotten two wishes and what not, but then when I saved it, closed it, and then opened it again my save was gone... I was wondering if I have to extract it anywhere, and if so, where?

You, ah, are sure you pressed Y when you saved, right? Some games make you have to do Load Game instead of New Game too, but I tested it and Start Game loads a previously saved game. You're also sure you didn't quit from within the game with Q, right? Your saves are gone when you load them and so if you quit out to the main menu after having saved it once already there will not be a save file waiting for you. The last thing I have to check is that you're *certain* you didn't die, right? The reason savegames disappear in the first place is to enforce permadeath, which is basically that once you die your game is done and you'll have to start over from the very beginning. If you're certain none of that happened, try starting a new game, going into New Attnam, saving, and then look in your folder. If you still have no save file then something may be wrong (what, I don't know, but something may be wrong all the same). 0.50 saving worked just fine for me when I tested it just now so I dunno in that case.

Just extract it somewhere. The saving problem probably exists because you're playing from the .zip file.

Would program files be fine?

It doesn't matter where it is unpacked.