I have had that problem a couple of times. I don't know exactly how I solved it, though, because I did several things. Which OS are you running PicEdit on? I remember encountering problems when using Win 2000. I think to solve it I checked that the PicEdit Files weren't accidentally read-only, and then I saved it to a floppy disk. I then changed back to windows with Alt-Tab, and checked if it saved on the disk. That way I tried a few things until it eventually worked. If all that doesn't work, copy an existing picture in the same directory and overwrite it with the new. That works most of the times I think.
Sorry I can't be more specific than that. Hope it helped, though.
Zonkie