Master of Magic doesn't have a save game option, why not?

When you go to the "Game" menu, you don't see the save button at the bottom? (You have to select a save slot to make the button active).

If you don't see the button, is it possible it is off the bottom of the screen? This is possible, depending on your resolution and window settings.

Sorry if those seem like very simple ideas, but your question doesn't give much detail.

Master of Magic comes with 8 save game slots, plus a quicksave option [F10].

To use any of the 8 save slots, go to the Game menu (as legraf said) and give your save a name. That will unhide the Save button.

To restart MoM from the last time you pressed F10 (which in effect created a restore point) the next time you play, choose the Continue option instead of Load Game.