I've allready found a solution, I had to change the home directory setting it as a shared folder over a network, so my keys will save to that address.
http://lists.gnupg.org/pipermail/gnupg-users/2008-January/032437.html
The solution I've found is in that URL, I had to create a new enviroment variable so the GPG will look for the homedirectory on that variable.