it depends on what version of windows you're running but it's generally in your user folder under saved games/hegemony gold.
Hmm, i'm running Windows 7 and that's what I assume, i went into my "User Name/App Data (the hidden folder), then saw the company name, so i assumed it was there, however when I click inside the folder, all I see is just the settings file and nothing else, and I know it must keep it somewhere.. hehe.. Unless, Quicksaves don't register? As that's really all I use.
Edit: Found it!, it was actually under the folder entitled "Saved Games" which was outside the App Data folder, but in the main user folder.
All good now, thanks :)