The files live in this folder (at least on Windows 7 and possibly 8):

C:\Users\void\AppData\Roaming\MinerWars\Saves

If you use the standalone client, the files will be inside PUBLIC. If you are using STEAM, then they will be under STEAM. This way if, like me, you move from the standalone version to steam you can copy your save games and start the game from where you left it :)