When you find films or saved games on the net, you have to put them into the folders tags:local:reco or tags:local:save respectively. Thats tags\local\reco and tags\local\reco for Win95 users. Make an alias of these folders and keep them top-level and you will have easy access to them. See the picture below.

Keep most of your saved files in a different directory. (Mac/Win95).

Essentially a tie-in with the above. Loading saved games and films takes longer the more files you have in the saved game or film directory. Appearantly Myth creates some internal directory when loading. Keep these folders as clean as possible. It will not show more than 100 files of saves or films. Create backup folders near the alias/shortcut folders to move any saves or films you do not think you will be using soon. You can manage your files using the Finder/Explorer.
Using non-standard open/save interface is one of my big complaints against the game.
Another is that you cannot switch out Myth on the Mac for instance to manage your files.

Make sure you have at least 2 MB free space on your Myth drive. (Mac/Win95).

See my rantings. You need free space on your drive to load your maps, or loading will fail without any error message. This will also saving of games and films, and again you will not get an error message.