Delphi 2007 on windows 7 just does nothing on the saveDialog.Execute call. I have seen another person mention this a few weeks back but it was with Borland c++.
See the thread "TOpenDialog.Execute not working " on embarcadero newsgroups.
Problem there was resolved by deleting the executable name from "HKLM\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Image File Execution Options"