If you can't save GSX.CFG files, it means you have a permission problem in you Windows user account, which is not normal, since the %APPDATA% folder where GSX tries to write should be always writable.
Check all the following:
- You have the most current version of GSX
- Try to create a GSX folder inside the %APPDATA%\Virtuali\ folder
- Be sure you DO NOT run FSX in one of the "compatibility" modes for Vista/Win7
- If that doesn't work, try to run FSX as Administrator