JCreator saves your work automatically every time you compile. If you wish to open up an existing project to continue work on it, be careful to open the project's workspace rather than just the Java source file.
Note: By default, Windows does not show the file extension (for example, *.jcw). I prefer to set my Window's folder options to always display the extension. To change your folder options, Open up My Computer, pull down its Tools menu, and select Folder Options.... Select the View tab, and unclick the Hide extensions for known file types.