Can you save a single player game?

I'm playing a skirmish vs the CPU and I see that there's an option to save, but when I try it, I get the message: "Save Failed".

Anyone able to do this successfully?

 

You should be able to just hit F10 and then select save. That works for me, but I have no idea why yours fails.
Try a new game and see if you can save that one as a test.