Honestly, you guys shouldn't go so easy on 'em. I learnt that "hope for the best, but...assume the worst" is the best approach in sits like these. Tough love helps more in the mid- and long-term. Probably... Or not. Anyhoooo.
Please. For everything that is holy -and unholy-, please... Learn how to extract an archived file.
Because opening them with WinRar (I assume...double-clicking them?), and then running the Game.exe from there is NOT really extracting, trust me. I sort of figured that by "pining" you meant pinning the running WolfRPG Game.exe to the taskbar, which as (your apparently OVER9000 lol) luck would have it, will not let the temporary directory that the above procedure (again, running the Game.exe from within the archive and NOT actually extracting it) creates in the 'Temp' folder of your user data get deleted, and as such letting you "Save" and stuff...
TL;DR: No, it has nothing to do with WolfRPG. You've been doing the "extracting" wrong all this time; probably. Please look around for information on how to do it correctly... (at any rate, might I suggest right-clicking the downloaded 'Niplheims_Hunter_-_Branded_Azel.7z' file and choosing 'Extract to...' then after the...real...extraction, running the game from where you have extracted it to?)