What spell are you trying to save? Not all spells in the game are permanent (the white pelt you get from praying to the Twin God Idols is one example.)

Are you logged in? If you are playing as a nameless guest you can not keep spells.

Is your account an adult? If you are playing as a fawn, most spells will wear of after a few minutes. You will be able to save spells when your account matures into an adult deer.