There are two locations they could be at. If you only have the 'Fate' route installed, it appears in "My Documents" as "fate_english_savedata". If you have installed the 'UBW' route patch, it should be in "Fate-stay night English" in your Program Files.
Well, if my memory serves me correctly at least.
["Here is wisdom. Let him that hath understanding count the number of the beast:
for it is the number of a man; and his number is Six hundred threescore and six."]
--Book of Revelation 13:18