If you have Win98/ME, the save games are located in c:\windows\application data\avernum 4 saved games
If you have WinXP, they are located in c:\documents and settings\<user name>\application data\avernum 4 saved games
(where <user name> is your WinXP user name)
They are very large for saved games (over 14MB), so I wish you could change their location, but I don't think you can.