Does anyone know where the save files for World of xeen are? . I dont see em in the xeen game folder.

They were probably moved due to security protections in Windows 7 (assuming you're running Windows 7). Check this thread:

http://www.gog.com/forum/might_and_magic_series/save_files

Thanks, But that didnt work.

Yes I am using windows 7

.C:\Users\<username>\AppData\Local\VirtualStore\Program Files\GOG.com\<gamename>
path didnt exist.

C:\Users\<username>\AppData\Local\VirtualStore\Program Files\GOG.com\WoX
path didnt exist either

there was no AppData Folder

The AppData folder is a hidden system folder, so you won't be able to see it, unless you allow showing of hidden folders. Instead of trying to navigate there, type the address in the address bar, either as the full string or as either %appdata% for AppData\Roaming or %localappdata% for AppData\Local. After that is done, navigate to the VirtualStore directory and find your saves.

C:\Program Files (x86)\GOG Games\Might and Magic 4-5\WORLD\

save files:

DARK.CUR
DARK##.WOX
XEEN.CUR
XEEN##.WOX

note: "##" is the save slot number used