if you are running XP or any older version of windows, you will find them as SKYVM.xxx in the Beneath a Steel Sky folder.
They should be there as well under Vista if you didn't install it under program files. If you did install it, then Vista will not let any program store files there. Only the admin account can write there, and you should not be running programs as admin.
Find <account name>/appdata/local/virtualstore/program files(x86)/GOG.com/Beneath a Steem Sky.
This folder is combined with the real one when applications look for files, but is carefully hidden from the actual user.