I have the same problem as chewing.
I downloaded the game as a whole here because not all links offered in this forum were active:
Hadaka Shitsuji - Fuwanovel - Translated Visual Novels
Therefore it was already complete, I didn't have to install it, I could start it immediately.
I saved several times and looked at the gallery, but no pics..
I tried the steps recommended by Kojichan (look up SaveData, etc.), yet nothing worked until now.
I have to say that I couldn't save the file in "C:\Program Files (x86)\". If that is a major problem, I already copied and shifted it afterwards (still the other steps in mind).
Still no change. =/
Apart from that the game is working. I have got the 666-problem from time to time, but that is normal. No other problems.. has someone got another idea?
Could the problem be that i downloaded the game as a whole? I really don't know where it went wrong..