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.
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.