The wallet directory is located in:


C:\Users\[USERNAME]\AppData\Roaming\Syscoin


C:\Users\[USERNAME]\AppData\Roaming\Syscoin\wallet.dat is your actual wallet file. 
On Syscoin 2.1.x be sure to back it up regularly as sending and receiving Syscoin often creates new address that may not be included in an old backup.

Syscoin 2.2 and up (the core of BlockMarket) use a single address.