The SaveGame file can be found in the location/path
C -> Documents and Settings -> YOUR User Name -> Local Settings -> Application Data -> Midway -> Blacksite, in WIN XP.
The folders 'Local settings' and 'Application Data' etc are usually Hidden files in Windows.
Inside the path C:\Documents and Settings\Your user name\Local Settings\Application Data\Midway\Blacksite, you have the File
'Blacksite Checkpoint.DEFAULT.BlacksiteSaveGame' , which stores the saved Checkpoints played so far.
Well, I don't have VISTA, but Follow these steps as per my Knowledge:
1. Click the round blue Start thing in the left corner
2. Click Control Panel
3. Click Folder Options
4. Click the View tab
5. Click Show hidden files and folders
6. If you want to see system files as well, unclick Hide protected operating system files (Recommended)
7. Click OK
ELSE Check This Link below for details:
This should help you easily.