When you first install ZT there is no saved game folder. You have to open an ingame map in freeform and just save it and the game will create a saved game folder.
Look at this pic. It shows all the folders you should have with a few added because I have Complete Collection. If yopu don't have all of the folders you see don't worry.
The dlupdates, dupdate, Xpack 1, Xpack 2, Zupdate & Zupdate 1 are added when you have CC.
You should have all the others though. Click the image for a larger view.