In some copies of Avernum and Exile, when you save your game it sometimes forgets to add ".sav" extention on the end of filename. To fix this, you should use "Save As" instead of "Save" when saving your games.
To recover your lost file: If you open the folder to which the game saves your files (the folder that is shown in "Save As" dialogue) you should be able to find the savefile with the name you gave it. So if you add the ".sav" extention on the end yourself, you should be able to load the file without problems.
PS It's a very bad idea to always save into the same file. Sometimes you will get your party into a situation with no exit. So if you save in such a situation, without making frequent backups, you will lose your entire game.