If you have Windows XP the saves are in the folder:
C:\Documents and Settings\ %username% \Local Settings\Application Data\Divinity 2\Savegames
If you have Windows Vista or Windows 7 the saves are in the folder:
C:\Users\ %username% \AppData\Local\Divinity 2\Savegames
Where %username% is your current login name.
If the AppData folder doesn’t appear it’s because it’s hidden.
Please have a look in the following forum thread to show hidden folders:
http://www.larian.com/forums/ubbthreads.php?ubb=showflat&Number=436154#Post436154