Is it greyed out after you have set the target level? In many places "save" only makes sense after something has been done.
Since this is a question involving the interface itself you should include a screenshot of the screen in question.
We don't have any of your data or even which specific type of model you might be attempting so more information is likely needed.
Sometimes behaviors like this may come because the selected variable is not the type expected for the specific action, i.e. the values are character and SAS expects the variable to be numeric.