1) Delete all *.sav files.
2) Start xu4 with the -i switch.
An error window with the message "no savegame found!"
pops up, and clicking OK terminates xu4.
It'd be better if xu4 went back to the main menu and
displayed the message "Initiate game first!".
This is what xu4 does when you Journey Onward (from the
main menu) without *.sav files.