In a folder on the desktop. Been there for years.
I actually have desktop icons hidden though, as I don't use them often. I generally use custom pop-up menus instead from the task bar, so I can keep windows open in the background.
Lucky thing though. I haven't had a need to use them until recently when switching to a new controller, which wasn't as easy as it probably should have been, so the backups came in handy. See here for more info on that ordeal. →
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Edit: Oh, you're looking for the game's folder for them. Never mind then, I guess...
