Make sure your media file is writeable. For some formats (such as MPEG), markers and regions are stored in an external .sfl file in the same folder as the media. For these you'll need to make sure you have write permission for the folder containing your media file.
Also make sure that you don't have the media file open in another application.
Nat - Just did Test . .works for me . . . Region named "Test" showed in Explorer. Then went on to test the Open Region in Trimmer from Explorer . .that worked too. What this with the Markers? I'm not showing markers in Trimmer or Explorer? Regions yes . . . Or should one get MArkers to show in Explorer . . . ?