Blender v2.59 is different than older versions if you want to save your game as an executable (.exe) [you know, if you want to save your game as a game you can sell and distribute]). You have to turn the Save As Runtime option ON.
Here's how you do it. Open Blender 2.59. Click on File, then click on User Prefrences.
Now on the left of the User Prefrences window, about mid-way down, you will see Game Engine; click on that button so it turns blue, then click on the Add-Ons tab at the top of the User Prefrences window. The only thing left in the large center window is Game Engine: Save As Game Engine Runtime. Look to the right where the little box is. The box should have a check in it. If it doesn't, put your mouse cursor over the box and left click it. The check should appear. Now go to the bottom of the User Prefrences screen and click on Install Add-On.
Close the User Prefrences window (x in the corner). Now click on File, then click on Export, and there it is Save As Game Engine Runtime.
You should be using that button a lot if you are actually making a game, but when you finally finish your whole game that is the button you must click to turn your giant blender file into a real game.
You can still make game saves on Linux, and Mac (I think with Mac?)
No you do not need to go find files like you had to do with earlier versions. (They finally fixed that one.)