Thought they were in my documents on the GTA IV map but it wasn't
maybe u need a program ore something to find it, you know It might not be one file that is savegame. ur savegame can posibly be inside some of the GTA files....
You can always find an atm in every Strip Club, as for savegames i'm using Vista Ultimate and they're located in C:/Users/AppData/Local/Rockstar Games/GTA IV/savegames. For xp, it must be like C:/Documents and Settings/Username/etc.. Keep in mind that AppData is a hidden directory so you must set directory properties to show hidden files on.
You can't alter yours or use any other saved games due to Rockstars stupid program restrictions.