Albet, I played a bit of the game and saved to find the location for you. I'm assuming here that you're running atleast windows 7 (this is what I tested/checked in)
Make sure you have viewing hidden files/folders enabled (for this, go to the FOLDERS section in your control panel, click the VIEW tab, and about a fourth of the way down it will say HIDDEN FILES AND FOLDER, click the bubble by SHOW HIDDEN FILES, FOLDERS, OR DRIVES and click okay.
Now, go to:
C:\Users\XXX\AppData\Local\VirtualStore\Program Files (x86)\The Adventure Company\Murder on the Orient Express\Saved.Games
(where I have the 3 XXX that's your windows user account name.
Each saved game, like many Agatha Christie games, will have two files. one is a .ac2 and the other is a screenshot/photo.
I hope this helps you
Happy gaming!