Distruttore98, is this for any game, especially games that require you to save manually like Sonny? It could be that cache.armorgames.com isn't giving any memory for you to save. I'm not sure if other browsers are different, but here is the way to do it for Firefox:
1) Try going to Tools, and Options. Under "advanced", go to "Network". You should have some sort of cache storage option where it says "offline storage". Give it some juice, like 20MB's or so. When you get more space, the games should finally save.
2) Try going to any game. I like SonnyII, since the preloader is quicker. What you need to do is right click on the box where the game will load and click on "settings". This should bring up the adobe flash player settings. Give this some juice, like 10MB's or unlimited.
Either one of these should work. If you don't have memory given to cache.armorgames.com, or not enough, then it will not be able to save your data.
