...I have a problem that everything i made in GECK and save it disappears....

What system are you running it on?
Because some, like windows 7 ocasionally, have issues choosing how much power a certain program can have. Try running Geck on Administrator (RMB, Run as Administrator, yes)
This should fix it, as I am guessing the missing files are a result of Windows Locking the file.

I have Windows 7 :\ I'll try what you said thanks