Or if your on Vista then they don't show up so you have to click "compatibility files". Then it shows them in the save folder in the game directory.
Hooper added 1 Minutes and 30 Seconds later...
Its a known problem, you just have to re-install the game apparently.
You don't lose your save games, so don't worry.
I have the same problem, I re-installed it but it's still not accepting my license key.