You have 2 possible locations allowed by the game.
By default, the game saves all saved games and the logs in the User directory of Windows, as per Microsoft recommendation. For most people, that's good and there should be no problem with that.
The alternate possibility is to save it directly in the game directory. For example if you installed your game in
C:\Games\Civil War II
then the saves will be in
C:\Games\Civil War II\CW2\Saves
and the logs in
C:\Games\Civil War II\CW2\Logs
This can be necessary if you have troubles with the User directory, like for example a game saved as a 0 byte file. It happens for a few users and this is caused by either Windows UAC preventing proper writing, or the anti-virus.
To change the location you only need to go to the directory where you installed the game, for example
C:\Games\Civil War II
There you should see a file named userpath.ini. This file is empty, this is normal. Its presence tells the game you prefer to save files in the User directory. Its absence means you prefer to save files in the game own directory.
Put this file aside if you want to try the alternate method. You can also simply delete it (create a new text file named userpath.ini when you want to restore the first method)