Hi teksts, my first thought on reading this is that it sounds like your current OS settings are not allowing REXPaint to actually write to the disk? (As the included readme states, REXPaint must have write access to its own directory, otherwise it cannot save files or settings.) This can happen for a number of reasons depending on your system.
That said, your description here isn't entirely clear so I can't be sure of the steps you're taking to get this result. Like "when I open the file from the images folder" is not even something REXPaint is capable of (opening an image by using your system's file browser will not work).
Unless you mean something more along the lines of you 1) save an image, 2) exit REXPaint, 3) there is no image in REXPaint's /images/ directory, or available in REXPaint when you start it up again. That would be a description for the case I was describing, being unable to write to disk, which is the most likely cause here.