zandrag: There should be a Bladur.ini in your Documents\Icewind Dale - Enhanced Edition\ folder, alongside a Baldur.lua and three folders (characters, portraits, and save).
Kelquen_Shadowfire: Nope. Only the bauldur.lua file and the other three folders. I even disabled hidden files to see if, for whatever reason, it was hidden.
Using regedit, check this and see where SAVEPATH is set to.
Computer\HKEY_LOCAL_MACHINE\SOFTWARE\WOW6432Node\GOG.com\Games\1207666683
If that is something else, you can search for "Icewind Dale Ehanced Edition" in LOCAL_Machine\SOFTWARE. It will find some things related before you get to anything like above.
Also, can check here:
C:\Users\<username>\AppData\Local\VirtualStore
And see if any files or locations have been redirected here.
Would be unusual if that was the case.
Did you install the non-Enhanced edition at any time? It could be interfering, but not sure if that is possible or not.