I have only just got the game myself, but IIRC one has to load the saved game once the game has started from the beginning. Before that a 'load' option is not available. May be wrong as working from memory.
DrT

When you start the game do not click on the book. The just starts a new game. Press escape. You should see the options screen (well, a volume control and that's about it) along will 6 Saved Game windows. The lower right is labelled Last Visit and is automatically set when you last exited the game (assuming you left my pressing escape the then clicking Quit). The others can be manually Saved and Deleted by pressing escape at any time during the game.

What francistravers just said is true for RealMyst. If you're playing the regular Myst, you should be able to load a saved game file from the File menu, which appears I believe if you move your mouse to the top left corner of the screen and click up there. That's how it works in Riven, anyway.

the game saves but does not give you the location you saved at. Load game & then go to when you were when last saved. Stupid I know. That's why I like real myst, takes you straight to your last save.

Thanks everyone. I haven't been on for a while, but I found oyt if you click on the game thn go to file and reload game it brings up the list of saved games. I've finished the game now and freed Altrus. I think I might be downloading Riven next. Again thanks to all who replied.
Mike