Brothers in Arms: Hell's Highway saves your game progress in the 'My Documents\My Games' folder ('Documents\My Games' on Vista). If your 'My Documents' folder is set to a non-default location (the folder has been moved to another location or is on a different drive from your Windows installation), the game will not be able to write a save file and save your progress.
Symptoms: There are no save errors displayed in game. If you go to the menu or quit the game, all progress is lost (even if the game displays "Checkpoint saved"). In the menu, the profile-list is empty. Creating a new profile always states that a profile with that name already exists.
Solution: Make sure that your My Documents / Documents folder is in the default location on the same drive of your Windows installation.
Windows XP: C:\Documents and Settings\[Account Name]\My Documents
Windows Vista: C:\Users\[Account Name]\Documents