The folder is usually in:
C:\Documents and Settings\Your User Name\Application Data\Microsoft Games\Zoo Tycoon 2\Default Profile\Saved
Those highlighted in bold might vary a bit for you (Your User Name will be what you log on the computer as usually, and Default Profile will be the name of your profile which you have saved the games in)
An easier method may be to go into your start menu and click on Search - then search for 'Saved'
EDIT - oops didn't see you there Mika!