Thats a known bug out there. It has something to do with Windows not being able to recognise the files or something, resulting in the game labelling the save games as corrupt.
Read more about the problem here:
*www.gtaforums.com/index.php?showtopic=194371
Alternately you can try this fix. Download it from here:
*rapidshare.de/files/2281539/gtase-svegmefixauto.zip.html
Is any patch out yet for GTA:SA?