By default, if you started with the vanilla Civilization III, Civ3 installs to C:\Program Files\Infogrames Interactive\Civilization III (assuming you have a 32-bit computer). I think it's something like C:\Program Files\Firaxis Games\Civilization III Complete for Civ3 Complete, but I don't have that version, so I'm not entirely sure. I'd check those locations for them.
Also, the file extension is .sav, so searching for .sav files should turn them up. Note that some other programs, such as Half Life, also use the .sav extension for their own files.