Normally I don't make a newsie about these kinds of things, but not being able to locate your scenario's in the main Age of Empires directory seems to be a common problem occuring in the latest versions of Windows, and can be pretty frustrating for those wanting to share their custom creations. If you haven't been visiting our forums, here is the solution to this problem:
Quoted from Insanitoal:
I finally found out the problem. I set the Windows options up so that I could see compatibility files, but I never clicked the big "Compatibility Files" button above my window when I'm in the Age of Empires folder. I presumed that it would just show me the files like all other things.
For anyone else having this problem, here's a step by step way to find your file (Windows 7 64 Bit):
1) Control Panel>Folder Options> View Tab> Show Hidden files, folders and drives> Search Tab> Include compressed files (ZIP, CAB...)> Apply
2) Go to your Age of Empires folder (C:\Program Files (x86 if 64 Bit)\Microsoft Games\Age of Empires
3) Click the big "Compatibility files" button above, next to Burn, New Folder etc.
4) Click the scenario folder, and there your saved scenarios should be.