If you are trying to save a game you are making, I have never seen this message. I even tried to save a blank file and it worked (I did that a while ago as a means of erasing a file).
So I'll assume you are in play mode (More Complete questions please, I gotta answer for all possibilities here!).
If you are playing the demo game (the only way I can think of to play something without loading it's database), just go to the title screen and select the bottom option (Load). Then choose "Dear Brave Heart" from the list and load it's database.
Now you can play (with saving available) and you can even edit it's database or read the scripts to see how things were done.
If there was a third interpretation of your question I somehow missed, let me know!