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.