Do you mean online flash games? If so then you need to enable cookies in your browser as they are usually your saves. Also if you delete your browser files after an online session that will remove the saves as well.
When you load the game the main menu pops up, normally shows New game Load game Options and one or two others. If you press Esc in game it should give you the option to go to Main Menu. When you press Load Game it should open with a list of all your saved games.