Hehehe Mike
It can save
Just edit Jazz3D.ini located at your System folder in your Jazz3 dir.

Then look for [Core.System]

When u find it you will see below
PurgeCacheDays=30
And below of it
SavePath=../Save

U must change that one to your Jazz3 save folder, like this
If you have Jazz3 installed in C:\Games\Jazz3D\
Then u must change "SavePath" to:
C:/Games/Jazz3D/Save
Remember, use the "/" thing instead of "\"
Look, take a look at mine:

[Core.System]
PurgeCacheDays=30
SavePath=C:/Games/Jazz3D/Save
CachePath=../Cache
CacheExt=.uxx
Suppress=DevLoad
Suppress=DevSave
Suppress=DevNetTraffic
Suppress=DevGarbage
Suppress=DevKill
Suppress=DevReplace
Suppress=DevSound
Suppress=DevCompile
Suppress=DevBind
Suppress=DevBsp
Paths=../System/*.u
Paths=../Maps/*.unr
Paths=../Textures/*.utx
Paths=../Sounds/*.uax
Paths=../Music/*.umx

Then come back and thank me ;P
Have fun