something else to note - you will have to set a password if you want to save and load. Right now, that can be any number between 1000 and 9999. Use chat to write /pass 1234 for now.
(Later that will be a number you get from within strategus)
edit: also, i'd suggest playing around with /save and /load before you build some big structures
and: buildings can be demolished by using them (F key default i think)