Welcome to the forum! Glad you're enjoying the game so well, but sorry to hear of the trouble here.
It sounds like potentially your permissions changed on the folder in question -- there's definitely nothing that would erase all your savegames from within the game itself. Everything but the savegames are stored in a file called settings.dat, so if that was corrupted or lost then everything but the savegames would be lost, but since the savegames also went that seems suspicious.
If you look at the folder in which AI War is installed, depending on where that folder is you will see a Save directory which may or may not have save files in it. If it does have save files, you'll want to make sure that the user you are running as has full read/write permissions to the entire AI War runtime folder.
If it does not have any save files in it, then apparently you have the opposite problem (you recently gained read/write permissions to that folder, such as if you're running as an admin now and had not in the past, or similar). In that case, your savegames are in a different folder (and your settings.dat file), and you can simply copy them to your main AI War folder.
In windows 7, the folder would be something along these lines: C:\Users\<YourUserName>\AppData\Local\AIWar
It could also be in LocalLow or Roaming inside the AppData folder if you don't see an AIWar folder in the first location. You should see a settings.dat file, as well as a Save folder -- simply copying those into your AI War runtime folder would get around that.
Added tip: You can verify what folder AI War is looking in for savegames and settings.dat and such by looking at that big long textbox at the bottom of your Settings window in the game.
Also: if your settings.dat was corrupted, there is a settings.bak that it always tries to load. But, since the savegames are also missing it sounds like the permissions on your machine just changed.
In the upcoming AI War 4.0, we're going to be handling things a bit differently so that the permissions are always automatically set for you in the AI War folder, and thus it always writes to itself rather than sometimes writing to the user cache. That's what we did with Tidalis, and it's proved a lot simpler -- issues like this are rare, but certainly can happen.
Hope that helps!