Your save games are located "\Documents\My Games\GalCiv3\Saves" or here "\Documents\My Games\GC3Crusade\Saves" if you have Crusade.
If you'd like to unlock the campaigns, start the game with the "-cheat" param, press the ~ key in a new playthrough and input "UNLOCKCAMPAIGNS" - This will unlock all campaigns for you to play whichever one you want!