Where are my save game files

Can anyone help, I have just installed Neverwinter Nights 2 and played for a
while. Upon saving my game, the file goes into the Documents folder instead
of the Vista "save games" folder.

What can I do? This confuses the me to why it would do this, is there a
manual way to tell a game where to save its files? Because I can't even get
it to save in its own install directory.

Cheers for you help