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.