Does the game allow you to delete saved games from the save screen? If it does, that might be the easiest way.
MaGtRo's walkthrough says
Load-save game (in-game menu) page has frames that show the screen capture of the saved game, load, save, delete, date-time done and location in the game.
Otherwise check your (My) Documents folder and if there's no save folder there, it could be anywhere and you'll have to wait for someone who has the game installed to tell you.