Since it is the first time you play the game, it wont have any saves folder until you actually start the game and make one save. Then the save folder will be created inside the www folder.
The save data is located in some SYSTEM folder, not even anywhere near wherever anyone might've unpacked the game.
Good thing too in my opinion, since:
1) I don't have to copy my savegames into a new gamefolder every time an update is released.
2) It's actually CORRECT application of standard software conventions
3) It makes it harder for the idiots to find and fuck up their save games, since there are already way too many of those bloody noobs asking why they can't find emerald idols and whatnot. Hiding the savegames hopefully filters out the worst of them, the amount of fuckwits already asking stupid questions (that have generally already been answered multiple times on the very same page) about their fucked up saves is already enough to worry about the future of humanity.