DukeNico: There should be a SAVEGAME directory, with SLOTXX directories in it (XX beeing numbers).
And this folder isn't hidden.
Astaritobril: The ..GOG.COMFallout 2dataSAVEGAME folder is created as soon as you save your first game.
It actually is hidden for Vista users. Try navigating to this folder:
C: (slash) Users (slash) USERNAME (slash) AppData (slash) Local (slash) VirtualStore (slash) Program Files (slash) GOG.com (slash) Fallout 2
Change USERNAME to whatever yours is. Change (slash) to actual slashes. The savegame folder should be in the Fallout 2 folder.