Look under C:\Users\[your user name]\Saved Games or C:\Users\[your user name]\Documents\My Games
It should save the game save files in the GOG\[game name] directory, this may be a good question to ask GOG support as well.
Edit: Don't know why a GOG game would save here but . . . Start, Run, type in %AppData% and hit enter, lots of apps save data here under the app name.
UAC is the cause behind this one. Older games installed to Program Files (or other protected areas) have their saves redirected to the Virtual Store. This redirection is seamless and is done to keep compatibility with older programs/games without UAC elevation required at each run (and without compromising the UAC security).
Look in C:\Users\[User Name]\AppData\Local\VirtualStore\Program Files\GoG.com\Arcanum
Edit - a second too late :p
Having a problem loading previously saved games. Before I started messing with it with patches I wanted to copy my saved files but I couldn't find them. Found this topic and it helped me find it.
Don't know why GOG/Vista does this but my location was rediculously stored at:
Now that I finally finished that...does GOG automatically include necessary patches? If not, which do I need, especially to solve my problem, and will it negatively effect current saved games?