I too am having this problem; though the difference appears to be that there are still folders for all my slots (1-10) in the data directory, so the quick fix above does not work. (And yes, I use multiple save game slots!) Therefore I assume it's a different problem.
This problem has continually occurred for me in both the demo and full (1.4) versions.
I'm running:
Vista 32 bit home ultimate, on an HP Pavilion.
2.0ghz dual
258 NVidia card
2meg ram
No antivirus software
The save games seem to work until I exit the game. When I come back, they may or may not be there - it appears they are potentially lost overnight or between startup/shutdowns. I'll let you know if anything works.
If anyone sees if I've missed a solution above that might work for me, let me know.