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If you have Vista, then it is located in you saved game folder in a "hidden" folder. If you go to:

C:\Users\"Name of Computer"\AppData\Local\VirtualStore\Program Files (x86)\Paradox Interactive\Crusader Kings

where "Name of Computer" is whatever the user should happen to be, f.e. your first name, then they will be right there along with the link to your save game.