There are two places for application data on a Windows XP system (making assumptions here).
%APPDATA% has already been mentioned, which should take you to the folder
C:\Documents and Settings\{user name}\Application Data
If it's not there (check for the company name DivoGames or some derivative of it) you can look in the following directory.
C:\Documents and Settings\{user name}\Local Settings\Application Data
Remember to also go to Tools->Folder Options->View->Show Hidden Files and Folders
If it's not in those two places then its somewhere in the registry, or its obscurly named and you will have to use something like ProcMon, as previously mentioned, to deduce it. But I would almost guarantee you that your game data is in one of those two directories if you didn't explicitly save it somewhere else or used a game service like Steam or GameTap or something.