I can't seem to find the save file directory, Is it in a directory other than the main game directory?

EDIT: Oh yeah, that's the correct reply below. I forgot about the windows 7 user folder system (I always install games outside my program files folder).

It depends on what OS you have and where you have installed the game and can also depend on whether you are running the game as administrator.

Basically, if you are on WIndows Vista or 7 and have installed into Program Files (or Program Files x86 if you are on 64-bit) then the game installation folder is protected so WIndows will attempt to grab the saves and place them in your User folder. Running the game as administrator can stop this so that the saves are in the game folder but your best bet is to just install outside of Program Files, like C:\Games\... or something.