I do not think you are enabling your cookies to save.
Flash not use cookie.
Do other games save? You should try right clicking the game and click on settings. You can adjust how much info cache.armorgames.com stores on your computer (although it should ask you....). Don't worry, you won't get any viruses.
In settings "Local Storage" it say that cache.armorgames.com stores on my computer "none" info, when i try change on f.e 10 KB (or anything) i don't see any "accept" button, when i close window "Local Storage" is on "none" again... :-/