Taarnah: Just found them. Thanks.... What are they doing there?? I didn't do anything during install to send them there. Shouldn't GOG stuff be in the GOG folders..
Actually, Microsoft demands a separation of program files (like a game) and user files (like personal save games) for more than a decade now, and started to actively enforce this policy with the release of Vista more than five years ago. Other operating systems (like Linux/Unix) have done that since the 60s. This philosophy actually makes sense from a security viewpoint, it makes it more difficult for malicious software to find a place from which it can be executed. It also makes it easier in multi-user environments to keep every user's personal files tidily in one place.
You're probably expecting saves to be inside the program directory because DOS, and earlier Windows versions, have never been that concerned about security (or multi-user environments), and have not had such a separation.
If you're astonished that the save files are in your user directory, then you're clinging to an old, antiquated, insecure system structure. That's not a problem in itself (it's easy to lose track in an environment that develops so fast), but I think it's important to point out that the separation of user and program data is actually a _good_ thing. For GOG games, it also prevents several compatibility problems.
Edit: For compatibility between older games and newer Windows version, I'd recommend to install the game _not_ in Program Files (or any other protected directory), but in a separate unprotected directory, like C:\Games . It's less secure than using Program Files, but that shouldn't be an issue for games bought from here, and lots of old games unfortunately need to write files to their own directory.