You need ghostscript from here:
http://www.ghostscript.com/download/gsdnld.html
Then launch HeroScribe and hit File -> Preferences -> GhostScript path... and point to
C:\Program Files\gs\gs9.07\bin\gswin32c.exe
That should take care of the preferences problem, but I can't remember how I solved the "can't save file" problem for the life of me.
I think I just ignored it, and opened the folder where I tried to save it and then there it was, anyway, despite of HS telling me that it "can't save file".
Try this and if it doesn't work, Derfel can help you anyway.
The solution above is of course not from me, but from Derfel. I just happened to know where to find it.