Do you mean, you are able to create a file but cannot run it?

If so, what is the problem you are facing?

Please check the below 2 things:

1. What is the extension of the file that is created.
(For confirmation, goto Folder Options, Click on View tab, and un-check "Hide extensions for known file types" - for Windows XP) (On Vista - Click on Organize ->Folder and Search Options -> View Tab -> un-check "Hide extensions for known file types")

If you find that there is no extension, rename the file and put "exe" as extension.

2. If file is being saved with proper extension, what happens on running the executable?
Does it show file corrupted message ?