Hmm, to double check, have you checked both save game folders (I seem to have 2 for some reason). There's one in your personal folder (ie: Your Name/glestadv, on WinVista/7, it's C:\Users\user name\glestadv) as well as one in the installation directory (by default %PROGRAM FILES%\glestae 0.3).
If one of the folders has a file in it, you can try copying it to the other. It may be a bug. I'll test the save game in a moment.
EDIT//
Hmm, you must actually manually create the 'savegame' folder in your personal documents and move that saved game from the save game folder in your install directory in order for it to be recognized... But when I finally got the save recognized, it saved the save was a "bad save" and crashed upon attempting to load. I'm renaming this topic as a bug so Silnarm can see. It may require a ticket.