How to save a game that doesn't have a save feature at all?

There is an old Windows XP game that I found after many years and wanted to play it again. The game is called "Knight of Knights" by Tomoshibi.
I managed to find a way to run this 3D game on my modern Windows 10 and it runs perfectly.
The problem is, this game does not have any form of saving feature. And just to tell how bad that problem is:

1. If you close the game, you need to start over.
2. If you die once, you need to start over.
3. Even if you just go back to the main menu, you need to start over.

In emulators there is the "save state" function that allow you to save in any game regardless if it is supported in-game or not. I know that doing save state in Windows 10 is not really an option.
Since it's a very old game from Windows XP era, I would like to ask if there is any way to add a save feature to a Windows game.
Maybe running it the same way you run an emulator to isolate it from my main Windows system. Or just getting a mod that give me an option to save. This is a very obscure and unknown game, so there isn't any community that created mods for it.

So how should I go about it?