I know you didn't want Dreamweaver replies, but this is a helpful one. You really should get it, because you can download templates and modify them, and imo it's much easier than Frontpage.
With that problem i'd say you need to open a new website and save the actual website and then save the page? I don't know how because I haven't used it, but it sounds like it's asking you to save a website before you can save that webpage.
Not sure though...