That's very interesting. And when you go into the "About" menu, do you see "Glest Advanced Engine v0.2.(whatever)"? If you do not, then you are definitely running the original Glest engine. If you do, then that's very strange.
Saved games go into a directory named "savegames" which should get created automatically the 1st time you try to save one. But you also mentioned that you do not see the "Load Game" menu, so that makes me think you are using the original Glest engine. When you hit "z", a dialog box should pop up and you enter the name you want to save the game as (you have to click in the text area before you type unfortunately). If this isn't happening, maybe you can start gae from a command line and see if there is any output to the console?