I can save while playing the game. But every time I exit the game and reopen it doesn't keep my saves, and I have to play from the beginning all over again. I don't know how to fix this.

This is a common RPG Maker engine error. All you have to do is create a folder called "save" inside the game folder, and that should fix it.

Thank you. Do I need to download the copy that requires the winrar application? I got the one that doesn't need it.