Have you made sure that you have unlocked the game? I had the same issue. Everytime I would close the game and go back in, it would ask for a new user name and my previous profiles would disappear. I unlocked the game from the Start Menu (All Programs, then scroll the Cradle of Rome files). There is an option to unlock the game. If you have not clicked on that, then your game is locked and will not save. Once you have clicked on that, it will tell you that you have successfully unlocked the game and it will save from then on. I even restarted my computer to make sure. When I started the game up this time, my profile was there. I hope that this helps you. I was getting a bit frustrated myself. Good luck.