Can be several different things.
But I would bet $5 on Windows virtual storage (or whatever it's called). You have probably "installed" it in Program Files with non-admin rights and windows put it somewhere completely elsewhere and it just looks like it's there. And the same/similar for saved games...
If you are sure the saves are somewhere on your harddrive... just do a search for *.sav files on the whole harddrive... best with a tool like total commander or something similar (just not with a windows explorer), while enabling the option to show hidden files and folders beforehand.
And a piece of advice for the future: don't install anything manually into "Program Files" unless you are 120% sure you know what you're doing
It can only cause problems. OpenXcom works just as fine when extracted on the Desktop, into the Documents, or anywhere else in a non-protected directory.