can't save workspace

I'm running 2014a; doing the tutorial. I want to save the workspace by typing

>> save mydata.mat.

I get the error

 >> save mydata.mat
 Error using save
 Unable to write file mydata.mat: No such file or directory.

What gives?

[Fangjun Jiang]

what is your current directory? You can run "pwd" to find it out. Maybe you don't have write-access to that folder?