If you're running Windows 7, and you installed Dungeon Keeper to the default (C:\Program Files or C:\Program Files (x86) for 64-bit Windows 7), then the save game files will be in C:\Users\<your user profile name>\AppData\Local\VirtualStore\Program Files\GOG.com\Dungeon Keeper\SAVE
Just looked there. The VirtualStore folder was empty. Running Dungeon Keeper II underWindows 7 x64. Save folder in the game folder(.\Data\Saves) and config folder (.\Data\Saves) do not seem to contain campaign progress as seen from my experiment for Save games sync.