IE will sometimes warn you that "the contents of this page may not save correctly, do you want to save anyways?".
For example: when I do online banking, and I save the 'confirmation' screen as a record of paying a bill, it warns me that the page may not save correctly. There was a checkbox to tell it to stop warning me, which I've checked long ago, so I forget the exact text.
Is this similar to what you're getting? If not, then perhaps you have a busted install of IE. (if that's what you're using). I once had an install where I could not 'view source'. Notepad simply wouldn't open up. I finally remembered to "clear my cache", and IE buginess went away. You might also try emptying your cache.
At the barest level, you could install a packet sniffer and reconstruct the page from there (non HTTPS traffic anyways). If you've read about HTML code obfuscators, don't bother. I was once asked at work to write up some options for 'protecting' the source code of a web page. My initial report was one page that basically summarized the
word "impossible". Management replied "what about javascript jumbling of the code?". I evaluated one of those tools, and over the course of a 40 minute lunch (during which time he was eating his sandwich and
coffee), a colleague cracked this "unhackable" page using some arcane combination of wget, emacs and python. If you're sufficiently motivated, you can get the HTML code.
Bottom line: It's almost impossible to protect the source of an HTML page from being saved. The HTML must be sent to your machine. The only explanation that seems to fit is "your browser is broken."
