There is more than one possibility.

C:\Users\your user name here\AppData\Local\VirtualStore\Program Files (x86)

C:\Users\ your User name\AppData\Roaming\Game name folder or publisher name folder

There are probably a few more, depending on the game. You'll just have to look around. If you know the name of the save, you can try what Cathy suggests. Be sure Vista's search is configured to look everywhere in the user's folder.