For posterity:
- Install Vista.
- Install Dominions, download turn and create "savedgames/Exterminatus" folder in "C:\Program Files (x86)\dominions3".
- Do turn.
- Go to attach .2h file, discover that "savedgames" folder is missing.
- Go back to Dominions, find that current turn data is still there.
- Scratch head.
- After half hour of searching, discover .2h file in "C:\Users\David\AppData\Local\VirtualStore\Program Files (x86)\dominions3\savedgames\Exterminatus", noting that "AppData" is a hidden folder.
I bet it's old news, Vista having been out for some time now, but I thought the Dominions crowd might be slow to "update" their OS.
Happy New Year!