Your opponent must NOT end turn. He just plots his move, and sends you the .ord file. You should then save (or unzip) the file into the main directory that has the same name of the game you are playing......i.e. jimandbobcampaign. There will be other directories in that main directory, but they are old turns. DON'T save it in one of those. You are right, though, suspecting the little red lock or paper clip or whatever. There should be a red paper clip next to the name of your game for both the CSA and USA. This denotes, I believe, that there is a current .ord file for both sides. It is really quite simple once you get on to it.
Here is how I do it. I load the game (assuming I have my opponent's turn), I resolve the turn. Then, after the turn is resolved, I go thru all the mailbox messages. As I am going through those I make whatever moves, create divisions, change postures, etc. After I have made all the moves I want to make I generally do my new builds, drafts, taxes, etc. Then I save the game. After I save the game (don't advance the turn after you have made your moves), I exit and email my opponent (that's the hard part....remembering to email him his turn!!!!

) the USA.trn(I am the CSA) file. He plots his move without advancing the turn. He saves the game when he is finished plotting, and sends me the USA.ord file. I save it in our game's directory, and start all over. It works pretty easy once you get on to the system.