Where are the saves located? File extension?

The file extension for Caesar 3's save games are ".sav", and they can be found in either:

C:\Program Files\GOG.com\Caesar 3\

or

C:\Users\YOUR USERNAME HERE\AppData\Local\VirtualStore\Program Files\GOG.com\Caesar 3\

The reason I say it could be in either location is because if you're running Windows 7/Vista and have User Account Control enabled, it'll write your saves to that special "virtual store" directory in your profile instead of in the real Program Files directory.

Please note that if you're running a 64-bit OS, substitute "Program Files" with "Program Files (x86)".