The easiest way to locate your saved games is by opening the Start menu, clicking on 'Documents' and then browsing to Documents\My Games\Sid Meier's Civilization 5\Saves.
Alternatively you can browse to them using the following paths:
For Windows XP:
C:\Documents and Settings\<Username>\My Documents\My Games\Sid Meier's Civilization 5\Saves
For Windows Vista & Windows 7:
C:\Users\<Username>\My Games\Sid Meier's Civilization 5\Saves