With iOS 6 Apple has added additional privacy settings to limit applications from accessing a user's Photos without their permission.
If you want to save images to your Photos Camera Roll you will need to give permission to iSpy to save to your Photos.
If you tapped "Dont' Allow" when prompted and still want to use iSpy to save those images, you can change the setting in your iDevice's Settings > Privacy > Photos screen. (Just turn the iSpy setting to ON.)