Someone said the locations were the same in Win 7 and Vista. Maybe that was an assumption, or it depends on Windows settings, or how user accounts are configured?
Do you have Windows Explorer set to show hidden files and folders?
Try searching the users folder (or your entire drive) for *.dsg files (someone posted a link for a save past the initial cutscene, named savegame02.dsg ). You may need to go into the advanced search options to have it search in hidden and system folders, etc.