I purchased Civ IV complete a while back because I've always heard such raves about the game. Since I'm new to the Civ games (heresy, I know), I have on two occasions started to play the tutorial, ...

I don't know about the tutorial, but I typically hit ESC to get the main menu and Load/Save from there. I can't see why it would be different for the tutorial but I don't really know, either.