ToME: the Tales of Maj'Eyal

I'm new to this game so maybe I'm doing something wrong, but every time I saved the game I can't find it later when want it to load. If I have to start game every time from the beginning how would I progress in game ?

Have you tried the 'show old versions' button?
If that doesn't work, you should check the save file folder to see if there are save files.

You'll want to make sure that you've got the auto-save function turned on. Also, when you exit the game, make sure you click the "Save and Exit" button from the menu. If you're going to the task manager or closing out the main window, the game won't properly save.

The other thing to keep in mind is that your saves typically won't carry over from version to version. So installing ToME 1.1.5 will invalidate all your 1.1.4 saves and below.