Can't reproduce, works fine for me and I assume hundreds of other users since we haven't heard about this apart from here. I would guess that the extremely tight security settings on most school computers is intefering in some way. Where are you saving the project to and are you sure you have permission to access it?
Edit: is it the same if you save as both a single file (.capx) and project folder? Can you confirm the correct image files are there in the project folder (under Animations for Sprites or Textures for everything else)? If you rename the .capx to .zip and open it, are all the correct image files there as well? Do the examples in the Start dialog (file -> new) open?