It should be in the My Documents folder on your system drive. Which is certainly a part of some evil plan of Microsoft, because no sane and well-intended person would come up with an idea of keeping saves and settings on your system drive instead of the game.
Luckily our devs gave us tools to repel this assault. Inside your Openxcom folder you can create a folder named "user" and move everything there, the game will use it from now on instead of the original evil location.