As Oldmariner said, the saves could be anywhere.
I don't like the Windows search because it excludes search locations.
Instead I use the Command line with administrative privileges.
Click the Windows icon in the lower left of your screen and type CMD
Right-click on the command line utility it should find and select "Run as Administrator"
("Run As Administrator" should allow it to search your entire hard drive)
At the command line, type
CD \and the Enter key on your keyboard
gets you to the root folder, from which you can do a complete search
DIR dreamfall_01.sav /Sand the Enter key on your keyboard
should search your hard drive, including subfolders, for a save with the name dreamfall_01.sav
If that doesn't work, you can try running the Process Monitor mentioned on this page in Post #10
http://forums.longestjourney.com/showthread.php?t=8326