The load dialog provides the ability to continue with an old saved game. The load dialog functions in a very similar way to the save dialog with it's controls.
If you try to load a saved game that does not exist you will simply get an error message stating this information.
Important Old saved games from previous Simutrans may be incompatible, please make sure you read the release notes for each version you play, to see if there has been a mention of whether or not old games are incompatible. Between major versions it's highly likely old games wont work.