It's really easy to find the save location for Space Marine. It's in one of the hidden folders Appdata/Local/Ali213 if you're using a non steam version.
I was under the impression that this is a Steamworks game, and thus needs Steam to run?
That is incorrect regardless of what furry boy says. The game was never made by steam and was available on disc. I myself have the platinum edition that comes with this game and two expansions.