I'm still on XP, but my guess is that ScummVM just tries to save to an area where there are no write permissions for a normal user? Yeah, I think that's it. Vista has a lot of that security stuff. Anyway, you just have to right-click the ScummVM-icon, and go to properties - advanced, and then hook ...

It works under Vista... however, I found that if you want to save games and such, you have to run it as an administrator. Just right-click on it and choose 'Run as administrator'. Otherwise (at least in Broken Sword 1) you can’t save your progress. This should probably be added to the readme.

Thauran