It may have to do with the web page content you were trying to save. It usually saves the HTML code and possibly some of the images. Rarely will it save any streaming media like videos or audio. Try right click > Save As > Web Page Complete. If it still wont save, there are other options but we need to know what you are specifically trying to save. Sometimes security and copyrights will prevent saving the page and you need to resort to screen shots or other methods depending on what you want to save.
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