This was a common problem that I had to contact Psygnosis about. Sadly they are no longer with us. As you may be aware, Discworld shipped with a huge number of bugs. The cd version came with a patch floppy to fix some of them, although they neglected to include this with the floppy version.
One of the bugs is that unless you install the game to the default path, you cannot save the game. With an estimated 72 hours of gameplay (IIRC), this is obviously sub-optimal.
Another bug you should be aware of is that there is a certain point in the game, during a cutscene, that the game will in all probability crash. There is no way of getting past this point unless you contact Psygnosis for a savegame of just past this point. As I mentioned, Psygnosis no longer exist, having been bought by Sony and then destroyed, earth salted, etc. The only thing I can think of is to try to find someone with this savegame to get them to give it to you. Sadly I cannot help in this regard as my copy disappeared in an ex-girlfriend-related black hole some six years ago.
FWIW, I HTH.