Well, if you're playing titans it's not in that folder but in:
My Documents\My Games\Age of Mythology\Savegame
So, try searching there. Also, be aware that after you play more than 9 games, AoM will start to overwrite the previous games, so if you want to keep a game, change its name (without changing the extension, obviously). The game will still recognize it but not overwrite it.
"He had decided to live forever or die in the attempt."
J. Heller