How to save the game | Game didn't save

So as you can see from the title i don’t know how to save the game or when it save.

I post this in the Off-Topic category because i don’t now if it is a bug or i’m just to stupid to figure it out.

With my first chracter i fast treveld to a save house(church) and went back to the main screen, after a few minuts i continut the game and noticed that my inventory, wapon and item slots where empty. So i decided to restart the game and then my character was gone so i had to start a new game,

If any one know if this was a bug or how to save the game please tell me.