You do not say for which game you have the problem. And your operating system. And if you installed your game with admin rights (or is a user created with administrator rights)

I have installed my Blitzkrieg Anthology in a folder called "C:\Discover\Blitzkrieg I Anthology\" as I do not want to have my games messing up my "Program Files" folder
If you used the default installation path, I guess (I repeat, I guess...) the path is:
- for a 32 bits Windows: C:\Program Files\Blitzkrieg Anthology\...
- for a 64 bits Windows: C:\Program Files (x86)\Blitzkrieg Anthology\...

In my case then,
- the save games for Blitzkrieg are located in:
C:\Discover\Blitzkrieg I Anthology\Blitzkrieg\Run\saves

- the save games for Rolling thunder/Burning Horizons are in:
C:\Discover\Blitzkrieg I Anthology\BH-RT\Run\saves

as you can see, nothing fancy.
I had once trouble with applications that used the "Virtual Store" for putting files that were supposed to go in "program Files (x86)\App\xx", and as the program was too old for handling read/write authorizations, Windows put silently some files in this virtual store when it installed the application...
The virtual store is located at:
C:\Users\username\AppData\Local\VirtualStore
... check what is in it, just in case ...

Now, concerning your firewall...
Depending on the maker and the extra options associated with the product (safe box, anti-virus, parental control, net guard, anti-spyware, etc...), some "firewalls" do actually more than just being a simple firewall (authorize or deny an access).
They can also monitor and manage some files that are considered risky. It includes moving then to a different physical location, and providing the application with a virtual link by instance.
Most of the time, you can stop this behavior by removing the "automatic" decision, and ask to decide events by yourself. Exemple, in McAfee firewall, it can deny an internet access without you knowing it: you have to change manually the default settings for keeping control on what it does or not...
About the virtual links, I think I had this trouble with a Norton Internet Security product a while ago (or macAfee...?) , that was putting in a special state installed files accessing the internet, and not known/recognized by the security application data bank. As most games have multiplayer features, hence access the internet on their own, it is not impossible that such files were specially stored in a "safe and controlled" area by your firewall application, and removing it just cut the virtual link. Now, the game that is again in regular state cannot find where his babies are...
Just a guess concerning your case.