I have the game installed from the 3-disc set as well. I ran the game to get the direct location for the saved folder.
C:\Users\X\AppData\Local\VirtualStore\Program Files (x86)\The Adventure Company\Evil Under the Sun\Saved.Games
Where the X is, would be your personal windows account label. Also, be sure to have hidden folders enabled. To do this, open the control panel and in the search bar type Folders. In the File Explorer Options, in the View tab, click Show Hidden Files and Folders then click OK