You start saving your work by pressing CTRL-S or clicking the save button or autosave / autobackup (button ) starts saving after a set period of time. CRPA starts saving your work.
Then the message "Error Creating Directory" appears on your screen.
You probably have not named and saved your newly created project yet. Click OK and File | Save As... Save your project with a name and directory of its own. A directory called 'My CRPA files' was created automatically when you installed CRPA, which is recommended.