That is just the program.
Check:
C:/Documents and Settings/YOURUSERNAME/Application Data/vghd/Models
Note:
Windows default behaviour, Application Data is a hidden folder, so by default you can not see it in file explorer. Type it in the bar and you will be okay.
Vista is slightly different (from memory)
C:/User/YOURUSERNAME/AppData/Roaming/vghd/ModelsFinally:
Assuming you did not change it during installation