If you're an admin, or you've installed into an un-protected directory, they're in your installation directory. The files you want are: record.save, 0??.save, 0??idx.save and $$.
If you're not an admin (this is the case if you're using Vista or newer with UAC enabled), and you installed into a protected directory (such as Program Files), they're stored in virtualstore. Something like C:\Users\<your_account>\AppData\Local\VirtualStore\Path\To\Your\Installation\Directory.