The problem could lie in your installation of Microsoft NET Framework.
For the un-initiated, this program is installed and called-up by C4D (and other programs) to spread the processing time among any free PC's on a network.
If your PC is not part of a network it should save to your HD as normal.
It could be worth checking out your network settings just in case, and then install the latest version of NET Framework.
The most recent version (v1.1) can be found here
Code:
http://www.microsoft.com/downloads/details.aspx?displaylang=en&FamilyID=262D25E3-F589-4842-8157-034D1E7CF3A3
I had problems with an earlier version of C4D and upgrading the NET Framework solved the problem.