I saw another guy's thread about the save file location, but it appears to be applicable to later Windows versions (AppData/Roaming). The equivalent folder on XP does not appear to have anything related to Guilty Gear inside of it.

The save function within the game is saving the data properly, so clearly it's saving it SOMEwhere, but where? Anyone know?

Ah ha! You filled in the missing link for me. There is in fact a ZOO Digital Publishing folder in my C:\Documents and Settings\[username]\Application Data\ folder. That got it -- thanks!