If I'm understanding correctly, you press start and the game begins without letting you choose to continue or load or whatever. This is normal; the system does not work like it did in Fable II where you choose your hero each time. The most recent save game is automatically loaded. You may begin a new hero or load a different save by entering the Sanctuary and going into Game Management on the Options wall, or going to Game Management under Options if the Sanctuary is not yet available. This should let you save and continue, begin a new game, or load a different hero.