It's been a while, since this question was posted, so I don't know how pertinent a reply's gonna be at this point, but just in case: The savegame files are in the directory named trekcd under the installation dir. You'll find your savegames in there as savegame.0, savegame.1 and so on. You may have to save savegame.dir, too, but I'm not sure about that.
Notice the file named savegame.new - the game actually loads a savegame at start.