In Windows 7 the Skyrim saves exist under the following folder.
Under Windows XP the saves should be in the following folder.
C:\Documents and Settings\<username>\My Documents\My Games\Skyrim\Saves
If your save games were created in an older version of the game than you are trying to load them in, then they should appear just fine. Make sure the game is fully updated.
Incidentally, Windows 7 creates junction points for the old Windows XP folder structure, so even if you tried to copy the folders exactly from an XP machine, ideally Windows will still know where to find them.
I have copied saves just by using this folder location without issue.