C:\Users\username\AppData\Local\Ironclad Games\Sins of a Solar Empire\
Please note that some of these directories are hidden by default. To unhide them, go to Control Panel -> Folder Options -> View and set yourself to view hidden files and folders. There will be four folders for replays in the sins folder there, any of them will do (it just determines which category it shows under in-game).
Pinning things to the tree lets you keep them there for quick access. By default most things auto-pin though, so it's not really useful unless you've turned auto-pin off.