Well, friend, you definitely are not doing it correctly. It quite literally
has to work, if your install folder looks like this:
View attachment 428486
And since there is absolutely zero sense (at least imho) in trying to marathon this without save capability, you really should try to fix it...
The ONLY possible way I could think of it not working when the folder looking like the above, is when 'savedata' or the game's install folder is set to 'Read-Only'... But even then it should work. Methinks.