I haven't played since they got rid of save files and started storing them in the Windows registry. On PC, search this thread and you might find the registry entries. I can't remember--it's been quite a while...
IMHO, this isn't the proper way to store game saves, if they haven't fixed it yet. For example, if every game did this, then it would bloat the registry and also prevent users from easily copying or deleting saves. The registry was designed for simple values and strings for settings, and expanding it too much without user confirmation is one of the reasons Windows machines tend to slow down over time.