So, here’s another attempt at making this work. If you’re on Windows 7, could you download this and tell me if it works?
The program will attempt to create a folder and a file in that folder in your AppData folder. It will also tell you if it succeeded or not.
(The current version of Phenomenon 32 attempts to save its data in MyDocuments, which is pretty standard for games, but doesn’t work properly with Windows 7, possibly because Windows 7 uses a different folder structure than XP and Vista. But maybe this here will work. If it does, problem solved.)