Install spWW2 and spMBT in a separate Games folder, not in the Program Files (x86) if you're on 64 bit Vista, or the regular Program Files folder on vista 32.
Why ? Then, the OS won't be managing your "temp" and user files, and they'll be where you expect them to be
As for your problem : look in users/your_user_name/appdata. You'll see 3 folders, local, locallow and roaming. You should find your saved games in one of those 3 (I don't have your problem on vista64 'cause I installed outside the program files
)
Also, no performance problems here in fullscreen or windowed mode, with dl version up to date, not the latest ATI drivers, but close enough.