RetroX: It does create a .gb1 if you click "save".
sdj9383: Follow josh's instructions. Try opening the .gb1 file, as LGM/GM should have automatically created a backup for you. If you need to decompile the exe, first confirm that the exe was made with GM and not enigma, then simply locate and use the GM Decompiler (although you will lose the folder structure of your project - you'll still have all the resources, they'll just all be dumped under the primary resource folder with no sub-folders).
If the exe was created with ENIGMA, as long as you haven't tried compiling another game since then, the source files created by enigma should still have a lot of your data, if you don't mind reading through C++ source files.
As for the out of memory error, that certainly explains it. The following page contains information on how to expand the memory while running LGM from the command line:
http://enigma-dev.org/docs/Wiki/LateralGM:MemoryNote that ENIGMA.exe doesn't support command line arguments at this time, but ENIGMA.exe is mostly just for installation. Once enigma is installed, you should be able to run lgm directly instead.