In your Document folder Usually C:\Users\%YOURNAME%\Documents\PlanetExplorers\BuildingIso and C:\Users\%YOURNAME%\Documents\PlanetExplorers\VoxelCreationData on Windows. Files have the .vcisoor .biso extention.
It's an awesome game, available on steam with Story, Adventure, Creative mode in single player, and Versus and Coop adventure mode in multiplayer. You can play it online or in a LAN. You can buy it on Steam, or test a Free Planet Explorers demo here.