When you get an error message while creating an EXE presentation saying that a certain font cannot be saved you are using a font that is unsuitable for EXE presentations. Unfortunately, there are a few fonts that cannot be saved with EXE presentations.
Solutions:
Use some other font. See Displaying titles and text within a show.
However, if you insist on using this particular font you can create the title as an image file in an external image editing program and use these images instead of the text objects. See also Creating titles with shadows and 3D effects in Photoshop.