I know this may be a stupid question... but for the life of me I cannot find a way to delete the saves. I can't seem to do it in-game, so I assume there's a location where your saved games are located. I can't find them in the Arx Fatalis folder.
You
should have a save folder in the Arx directory. What OS are you running and where is the game installed? You could also do a file search on the drive the game is on; My Computer, select drive, and in the search field in the upper right enter, Gsave.sav
This will list all save sub-folders and their path.