Hello Achim,
In order to be able to resume a .mxi file you need to have both the mxi and the mxs files (Maxwell image file and Maxwell scene file), as one contains what you have rendered so far and the other the scene information.
Normally, both files will be stored in the output folder and with the same name and, if you have not set any path for the output, they will be stored next to the Rhino scene file and if it is not saved, in the user's Document folder here: \Documents\Maxwell\Maxwell for Rhino\Default MXS Output\
Regarding how resuming the render, you can use this button from the toolbar:
resume button.jpg
Or you can do as you say: from the File menu > Resume MXI...
Or you can just load the mxi file or mxs file and click render; you will be asked to resume, restart or cancel the render if the mxi exists.
Once you load the mxi or mxs file, Maxwell will try to load the other one from the original location. Obviously, the two files should match, otherwise, you won't be able to resume it. Something that happens quite frequently, is that the mxs file has been overwritten as a new render was launched and although it had the same name, the files don't actually match.
Best,
Fernando