Where is gmax saving the file at

.
If you saved the file search for it. I am guessing that gmax saved the file in some other folder. Or you sure you saved it and are you trying to import rather than open it.
Inside the main folder you should find two .ini files
one of these files tells gmax where everything is at and where to save files at make sure it going where you want it to.
I use gmax a lot & have no problems opening saved files
The other question I have are you sure you are not talking about FS2002 I do not recall a copy of gmax on fs2004