Autosaves are stored in a subfolder of your Saved Games folder. These are located in 

\Documents\Stronghold Warlords\Saved Games\Autosaves

To load the autosaves in game, please copy the files from \Autosaves to \Saved Games.

If your game is not creating autosaves, please do the following.
  1. Start Stronghold: Warlords
  2. Go to Single Player > Custom Skirmish
  3. Select any map and any AI enemy
  4. Open Advanced Options
  5. Set the 'Autosave Interval' dropdown to '5 m'
  6. Exit Advanced Options
  7. Start the game
The game will now create an autosave every 5 minutes in both custom skirmish and campaign missions.