If you're not running as Administrator and UAC is on, the save file folder will be at
C:\Users\Cloud\AppData\Local\VirtualStore\Program Files\Square Soft, Inc\Final Fantasy VII\save\
Replace "Cloud" with your user name.
The reason for this is because a program running w/o admin privs have no rights to write to the Program Files folder and so, Vista directs the writes to another folder where programs have access, then "overlays" the contents of the VirtualStore folder over the C:\ drive. If you do not believe me, run Jenova as Administrator and you'll see that the save folder really isn't in the "real" FF7 directory.
To make FF7 write to the "real" save directory, run it as Administrator.