The saves in F/sn are a mess. That's partly our fault, but we'll have to deal with it.
Assuming you installed to c:\Program Files\Fate stay night English, saves can be (and in some cases will be) in any of these directories:
c:\Program Files\Fate stay night English\savedata
c:\Program Files\Fate stay night English
2000 / XP: %USERPROFILE%\Local Settings\Application Data\fate_english_savedata
Vista and up: %USERPROFILE%\AppData\Local\fate_english_savedata
Vista and up (with UAC turned on): %USERPROFILE%\AppData\Local\VirtualStore\Program Files\Fate stay night English
Vista and up (with UAC turned on): %USERPROFILE%\AppData\Local\VirtualStore\Program Files\Fate stay night English\savedata
It's a mess because we were trying to fix the brokenness of F/sn Jap, but at a later point gave up because it created more problems than it solved. So we chose to join the brokenness after all...