You're looking in the wrong place (I did the same thing the first time I tried). Make sure you are looking in the folder with your user name on it:

Originally Posted by Raze

In XP the saves are in the folder

C:\Documents and Settings\ %username% \Local Settings\Application Data\Divinity 2\Savegames

or in Vista / Win 7

C:\Users\ %username% \AppData\Local\Divinity 2\Savegames

The savegames have the extension ".dxg"

for example: savegame32.dxg, where the "32" is the savegame no.