Please note that you must install the Microsoft Visual C++ 2015 Redistributable in order to create save files, which steam should be installing automatically alongside the game. If for some reason it did not install, or the installation was canceled, please download and install it here:
https://www.microsoft.com/en-us/download/details.aspx?id=53587
Edit: This link does not seem to work from within Steam. Please copy and paste the link into a new browser tab to properly access the download page.