Hi c_martini,
As it is usual for Windows applications in general, Windows games store their config data (settings, save games etc.) to all kinds of different places: user home directory, subdirectory of game installation directory, registry...
I keep my game config data in ZIP archives: savegames before the end sequence for games that I already finished, and savegames for other games for continuing.
1. I run a recursive file search on the game installation directory, to find files that have been modified lately. These are mostly savegames and config files (but not all of them!).
2. Then see my user home directory for more files. (Although I specialized in making patches for game to store their config data in a subdirectory called "SAVEDATA" in the game installation directory, rather than the user home directory. See them on GCW...)
3. Then I have a look at the registry, both under HKEY_CURRENT_USER\Software and HKEY_LOCAL_MACHINE\Software for settings of the game. (The registry entries are named after the game itself, the game developer company or the game publisher company.)
This is mostly improvization; as I said, unfortunately, there's no standard for storing config data under Windows.
As for making copies of your already installed games, you have to add another step:
4. Copy the game installation directory somewhere else.
Actually, I always "rip" my games from the CD into RAR archives. No stupid installation procedure, changing CD's, just unRAR, import the .REG file, run the config software (if the config is not already present in my savegame ZIP) and run the game. This also has the advantage of being able to keep applying official updates to the games. (I don't burn those RAR archives onto CD/DVD, I keep them on a large hard disk: easier, faster, read-write access, smaller physical size, and not even very expensive.) Good luck,
Joe