It took me forever to figure this one out (I have vista).
Theokrat is correct, although in my particular case the search funtion wasn't precise enough. I searched for one of my save game names ("Argentina", in this case). This worked, though you'll have to search for each unique save game name if you want to get rid of them all.
Once the "Argentina" files were found, the source was indicated as something like "C:/Users/Home/AppData/Local/VirtualStore...." But Vista wouldn't allow me to open the Local file!
Try searching for "VirtualStore" instead, then inside should be Program Files --> Paradox Interactive --> Doomsday --> Scenarios --> Save Games. I copied the save games folder to somewhere more accessible, like my desktop.
I'm not sure what VirtualStore is, I think it might have to do with me buying Arma. So if you don't have Arma this may not work. But I imagine the process is similar.