Pressing ‘Esc’ should take you to a root menu where you can save the game, among other things like quitting the game (God forbid!). Way in the upper right, there’s a label called ‘MENU’ which does the same thing if you click on it. Next to it is ‘HELP’, which takes you to the Civilopedia.
You should also have a manual in PDF format. Right-click on the game icon and select ‘View player manual’. There’s also a link on the game’s details page.