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Could you tell me where they are stored? (The game was purchased through Steam)

In the "My Documents" folder on your computer, there should be a folder called "Heroes VI," and inside that, there should be a folder called "Saves." That's roughly the order you should look in. Try searching for it yourself; it's not difficult. Alternatively, you can do this: Save any game with a distinctive name, such as "Hero Elizabeth." Then, after exiting the game, use your computer to search for a file with that name. When your computer finds the file, see where it's located. Or, right-click on the file and view its path to see the folder and location. It will be something like this...