Something to check -- are you sure your folders aren't marked "Read Only" in Windows? Exit out of BigOven, and, using Windows Explorer, navigate to your "My BigOven Recipes" folder. In Vista, by default, it's stored in:
c:\Users\Public\Documents\My BigOven Recipes
(If you don't have it in the default location, please tell us so we can add this to our test -- we're still not able to reproduce the behavior you are seeing.)
Right click on the My BigOven Recipes folder, choose Properties, and be sure that "Read Only" isn't checked, and click on the Security tab to ensure that you can read/write/execute everything in that folder, and all its subfolders.