I think it's the fact the the & Date & produces a date with a slash as the day/month delimiter and you can't have slashes in your filenames.
The following worked for me. Write the date to a cell, pick up it's components and then save (substitute in your own path)...
--
Range("A1").Formula = Now()
Range("B1").FormulaR1C1 = "=DAY(RC[-1])"
Range("C1").FormulaR1C1 = "=MONTH(RC[-2])"
Range("D1").FormulaR1C1 = "=YEAR(RC[-3])"
MyDay = Range("B1").Value
MyMonth = Range("C1").Value
MyYear = Range("D1").Value
ChDir ("C:temp")
ActiveWorkbook.SaveAs Filename:="All_claims " & MyDay & "-" & MyMonth & "-" & MyYear & ".xls"
--
This called my file
"All_claims 5-2-2002.xls"
It ain't elegant, but it works.
Rgds
AJ