Can someone tell me how to load a saved game? When I go to the menu, I do not see this option anywhere....

Saved games correspond to pictures taken with the camera.

Click on your Myst V Journal (between Yeesha's Journal and the camera).
Click at the top of a picture to load the saved game associated with that picture.

In other words, you need to click "Continue" in the main menu, select your player number, then load the saved game you want from the journal.

The game automatically saves progress, so if all you want to do is keep playing, just click "Continue" and you're back where you left off.