Most games store save files in either 'Documents' or 'AppData' for the most part. There are times when it saves into the game folder, but I figure you looked there already.
Examples
C:\Users\WindowsUserName\AppData\Local\SubFoldersNameHere (The equivalent for XP C:\Documents and Settings\UserName\Application Data)
C:\Users\WindowsUserName\Documents (Either in 'My Games' or some other named folder) (The equivalent for XP \My Documents\My Games\)