It depends on the game, unless it is online, the normal thing is that the progress is saved in a file, but there is no rule neither of the name nor of the location.
Some games create a save folder next to the executable, others can do it in "my documents" and some do it in the "local" folder.
You can try looking for a "save" folder or a .sav file next to the executable. If not, it is best that you ask directly in the comments on the page of the game itself.
PD: Always create a backup before deleting any files)