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That would depend on where you installed the game.
By default it would be C:\Program Files\Paradox\HOI2\scenarios\save games\
or something like this:
C:\Program Files\Paradox Entertainment\HOI2\scenarios\save games\
That folder will contain all Save game files.
Each save is called by whatever name you used when saving the game.
Each save has two file associated with it, a main file and a config file.
 
Just put it back in that same folder after you reinstall the game and install the patch.
 
I assume you are playing with the 1.3a patch.
It can be found on the download page of the Paradox website.
 
First thing you should do anytime you install a program is look for the most recent patch, whether it is your operating system like windows or a game.
 
There is a big sticky thread (Threads that are made to stay always at the top of the list of threads) The name of the thread is "the latest patch is ..."
Read the first post in that thread and it will give you a link to the Patch.
It may also list "mirrors" Mirror is just another location that has the same thing.

You can rightclick the mouse on the link and choose "Save target as"
Then a dialog will come up asking where you want to save the patch too.
Choose a folder where you want to save the file it does not really matter where.
Then when you have copied it to your Hard drive, then open the folder where you saved the patch and double click on the patch icon to run the patch, it will then proceed to patch your game automatically.