Hi Roger,
Free-roam games can be saved like missions. Some people have problems doing so—often solved by restarting the computer. Look through posts on that subject in Technical Support.
There is seldom a reason to save free-roam games, because nothing much is accomplished in them. You can often find a mission that has the ship, or ships, that you want—in the environment you want—and just roam around in it.
Regards,
Marty