Navigate to Local Disk(C:) in file explorer on windows. Then Users>[Your username for windows, if you don't have one click "User"]>AppData>Local>BBPSX>Saved>SaveGames. If you can't find a folder, click view on the top left corner, then check hidden items. The file names for the save files should be SAV(1-9), with the file extension .sav. If you are using wine, I think you have to navigate to the .wine folder first.
John
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When you first start the game and wake up you will be on the 2nd floor of the clinic, one door will be locked. Go up to it and spam e and enter on the keyboard, until the door is locked pop up disappears then walk two steps back, turn around, and this time on pressing e it should open. Then go to the lantern in the dev rooms, and save. Then go find the white teardrop thing that has the "merchant's mask." Then when you die, and wake up in the hunter's dream. There should be a path area behind you with the tutorial bath messengers. You should come up to a gate that is usually locked. It will be opened. If it isn't try putting on the mask and reloading the hunter's dream. Also be careful, there are various bosses scattered around. The invisible cleric beast was a nasty surprise.