Navigate to the tab and click Settings under the Performance section. Click the Data Execution Prevention tab.
Windows Security may be blocking the game from writing to your user folders. Go to Windows Security > Ransomware protection > Allow an app through Controlled folder access and add PR2.exe to the list.
Can not find translation file - Port Royale 2 - Steam Community
While in the Compatibility tab, try setting the game to run in Windows XP (Service Pack 2) or Windows 98 / Windows ME mode. Steam vs. GOG Versions