Sorry, I missed that you are working with Rgui.
Also the image files are .RData (not .Rdata).
AFAIK they are only loaded from the working directory.
In order to see every file in a directory you need to run
list.files(all.files=TRUE)
# or
dir(all.files=TRUE)
This will show whether any .RData files exist.
The save.image() function should then work.
To prevent automatic creation of .RData you will need
quit(save="no")
at the end of each session, or redefine the quit() function:
q <- function (save="no", ...) {
quit(save=save, ...)
}
and have this stored in your .Rprofile file, see help("startup").
HTH