Did you install VIP directly over your hard disk copy of victoria, or did you (as the VIP developers recommend) make a duplicate folder copy of Victoria on your desktop and install it there.
If you made the desktop copy and installed VIP over the desktop, then the savegames would be in the desktop folder under sceanrios/savegames, not your root directory.
Or are you using Vista, I do not know of any issues with savegames for VIP, but I do know some players have reported issues with finding savegames for normal Victoria under Vista - they are saved in some other folder, don't recall which, I'm an XP person myself.