If you are using an Xbox, then you are asking this in the wrong forum. Beyond Divinity is PC only (as is Divine Divinity). Divinity 2 is technically the third game, but Beyond Divinity was more of a spin-off and not set in Rivellon (can someone sum up the story).

In D2:ED when you die a message should come up, saying to hit A to load a save, or B to exit to the main menu.