Hey there m8. Go to the file settings and choose show all files, hidden and system files. And then go to *:\Documents and Settings\All Users\Programdata\ ...
There you will find NFS Underground 1 settings
And then go to *:\Documents and Settings\*your user*\Programdata\
There you will find Underground 2 settings
And then,.. Go to your documents.. there is the GTA3 series saves
Good luck!