In posterior games Ctrl-Left click in the list, will open the folder where the saves are stored, but not in RoP.
But if you delete the save, the .hst and .trn files will go to the recycle bin.
But do not panic,
you may go there and right click, select view details.
The folder where they are stored should be visible. Then right click in them and select restore, so they come back there.