Dave1186: i was playing heroes 4 earlier and saved a few games with different scenarios and went back to it to reload and my save files were gone, this happen to anyone else?
Assumption, you have the game installed in Program Files, the first time you didn't run it as administrator, the second time you did. If the assumptions are correct, you will find your saves at the VirtualStore directory (c:\users\{your username}\AppData\Local\VirtualStore\Program Files (x86)\GOG.com\Heroes of Might and Magic 4), probably in a folder saves or something. I don't have Heroes installed atm, so I'm not 100% sure of that, but do take a look. In case the files are truly there, you can copy them to the Program Files folder, and you should be able to see them ingame again.
And a suggestion, always install games in a location other than Program Files, UAC may mess with saves on older games.