LucasJSR: I also would like to delete one of my saved games, but i didn't found the file you're talking about in my Ultima 1 folder. There's another place where it could be?
I would like to know how to correctly exit the early Ultima games too, bacause the only way i found was pressing Alt+Tab and closing it manually.
If you are running it on Windows 7, and you have installed game under "Program Files", then the Windows virtualstore kicks in. It will relocate all user-modified files under user profile (C:\Users\username\AppData\Roaming\...). This comes from memory, so the folder can be little off.
In earlier ultima games, there was no quit option. Even "quit and save" option usually just saved the game.