Dosbox I/O error

Hi, I recently tried to play and old favorite game of mine through dosbox. The game starts fine, but when actual gameplay starts I get this message:

I/O ERROR:

Could not write to file "MILJ¥GEM.037".

The actual filename is (almost) 'GAMETITLE SAVE', in my native language. I hope this is correctly translated. Does anyone know how to solve this?

Try check the save file if you have writing permission.

Well, the file doesn't exist a priori, and I have tried giving my self writing permission to the directory and all the files it contains.