Hi, When I press save on the menu thing before I exit, when I come back it goes to the start again, is there a solution?

Not sure what you mean, but:
-. when launching the game, you can press Esc to skip the intro and then bring up the game menu (the native on with F5, or the ScummVM one with Ctrl+F5) or to restore a game
-. or, you can launch ScummVM first, select the "Beneath a Steel Sky" game entry, then click on the "Load..." button and select directly a saved game to restore into.