I finally located the save file.
For Windows 7 and for a game purchased through Steam, it is in Program Files(x86),Steam,steamapps,common,Sherlock Holmes The Secret of the Silver Earing,save
In my frustration looking for the saves, I actually made it past Marty and the dog into the office building. Now I am trying, unsuccessfully so far,to get into the warehouse.
I will keep trying for a while, but in the meantime could you please send me a save for after entering the warehouse just in case?