There has been some discussion about the problem Panzer General has with saving game. I have also seen discussions about work arounds, one of which I thought would work, however upon further investigation and discussions with SSI it seems that if you have more than 4 saved games from another title or titles, you will have to remove one of them to save a Panzer General game. Once you have saved a Panzer General game you will be able to save over it without deleting any other files. If you want to save all 4 Panzer General games in different slots, you will have to delete 4 saved games, one for each of the slots.
If you have less then 4 saved games, then use the lower Panzer General slots to save the game. I suggest you start with the bottom slot and work up.