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If you're playing with windows vista and have installed the game to default place in program files the savegames may be saved in appdata. In the desktop press windows button and R at the same time to open "run" box. Type in %appdata% and press enter.

It takes you to appdata/roaming

then go backwards to appdata where you can see three folders, local, local low and roaming. Enter the local folder.

There should be folder named virtual store. Enter it.
In the folder you should find program files folder, enter there, and there paradox interactive. Savegames should be there.