This can happen when the game can't find the %APPDATA% folder. You can instruct the game to create it's own data folder by following the steps bellow.
1. Navigate to the 'Library' section of Steam
2. Right click 'Hack, Slash, Loot' and select 'Properties'
3. Select the 'Set Launch Options...' button
4. Enter 'compact' into the text field and then click 'OK'
1. Create a short cut for the game
2. Right click the shortcut and select 'Properties'
3. In the 'Target' field add ' compact' to the end of the exe path
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