In Win7 it should be: c:\Users\<UserName>\My Documents\Larian Studios\Divinity Original Sin

Opening up Windows Explorer, if the Navigation pane is showing, there should be a list of Libraries, the first of which is Documents, which will let you quickly get to My Documents for the current user.

The should be created in the same folder as the support tool. I saved the program to my desktop, and that's where the report ends up, anyway.