The save game files are stored in your Application Data folder, which is also the place you need to go if you want to install mods or Galaxy Forge-made custom maps. For some people this will be a hidden folder and you'll need to adjust your computer's file settings so that you can see hidden folders (in the Control Panel Folder Options area, I think.)
For a discussion about where to find your Application Data folder, see the 2nd post in this thread about custom maps and where to put them. When you find the folder you'll see a bunch of folders in it such as Autosave, Saved Games, Settings, Mods, etc.
http://tinyurl.com/Sins5
