The save system wasn't changed for 2.5.18. I double checked and wasn't able to reproduce the behavior you describe, it's performing as I'd expect here so let's see if we can work out why that's happening for you.
ArtRage will ask for a file name if you are
a) Importing then saving, or
b) Saving a new file.
If you are not doing either of those, can you tell me:
-Is the location you're opening from and saving to a network location perhaps, and if so, can you tell me anything about that location?
-What version of Windows you're using.
Also, the latest version is 2.5.19 so it may be worthwhile grabbing that, just so that we're using the same version.