Typically savegames are under Documents\gamenamehere, but not in this case:
I'm on Windows 7 and installed with Steam, for me the saves are located under:
C:\Users\username\AppData\Local\Divinity 2\Savegames
AppData is a hidden folder, so if you don't have hidden folders activated you won't see it. To view hidden folders:
In the upper-left of the explorer window, choose "Organize", go down to "Folder and Search Options"
In the window that pops up, select the "View" tab
Look for the header "Hidden Folders", and highlight the bullet "Show Hidden Files and Folders"
Hit "OK"