When you downloaded the game, you need to unpack the archive (right click and extract here) to have the game folder unpacked/extracted. When you do the save in-game, minimize the game and check the game folder for the save file, it should be in ".../www/save/fileX.rpgsave", where "X" is 1,2,3,etc depending on the slot you've saved.
I'll try to recreate the cave bug and hopefully this can be fixed, too.