That’s very odd, as you should be able to save at any point in the story, apart from in the middle of one of the card battles. :? I’m really not sure what to suggest apart from reinstalling Princess Waltz, and seeing if that fixes the problem.
If you are using Vista, try running the game as administrator. Saving problems occur because it wont let the game create save files without administrator access.
For me when i use q.save the file is always on the last page of the save file… :o
That is just where the developers decided to place it. It is not a bug.