Vista:
C:\Users\your username\AppData\Local\Ironclad Games\Sins of a Solar Empire\
XP:
C:\Documents and Settings\your username\Local Settings\Application Data\Ironclad Games\Sins of a Solar Empire\
Please note that some of these directories are hidden by default. To unhide them, go to Control Panel -> Folder Options -> View and set yourself to view hidden files and folders.
