Hey. Here is the Default location for the saves:
However, IF you use Xliveless, the saves will be moved to the My Documents/Rockstar Games/GTA IV folder...
The AppData location is Hidden by default, so may have to show/un hide the hidden folders before they are visible.
Also, to my knowledge, IF you back-up the saves, you will have to use Xliveless to get the saves to work again? This is from what I have read on here.