Flavie,
I am using OS 4.0; saving a style can be a little complicated, but you have to be in the right directory and in the right menu (the one which shows the style running). If the style already exists in the hard disk, the Midjay will ask you if you are willing to overwrite it.
Another possibility for your problem could be that you have copied the styles from your computer and they are read-only files; if this is the case, you should connect the computer to the Midjay and in the "Properties" window) unmark the "read only" checkbox.
Hope this helps.