It's in ../data/DATA/saves/ if you are using my launcher.
Update for anyone who ran into the small-text problem at high resolution: v2.5 is out and adds exactly this.
There are new "Upscale 4K / 2K / 1K, big UI" presets in the launcher. They do the same thing dgVoodoo does, the game renders at a lower resolution and the whole frame is stretched up to fill your screen, so the menus and text get big and stay readable. It is a touch soft up close, same as the dgVoodoo route, since it is the same upscale trick and the game's UI art is fixed-size, there is no high-res UI to draw instead. The difference is that it is built into the launcher, so there is no separate wrapper to install or configure, and it runs alongside the widescreen and HUD fixes out of the box. Your Windows desktop stays at its native resolution the whole time.
The number is the render resolution, not your screen, so pick the tier at or below your monitor. On a 4K display "Upscale 2K" is the sweet spot, or "Upscale 1K" if you want the UI even bigger.
Grab it here: https://github.com/azmawee/EmperorReborn/releases/latest