HIARCS Chess Explorer saves all the games you play against the computer unless you explicitly tell it to abandon a game and not save it. You can access all the games you have played in the special PlayedGames database simply by selecting the Play->View played games menu item:

This will automatically open a new database tab for the PlayedGames PGN database and display all the games played in the Games Explorer pane at the bottom of the window.

Please note you can also now view engine games played from engine matches using the View engine games menu item on this menu.