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If I understand correctly, it is created automatically when saving? My game doesn't launch, so I don't have any saves.

You can access the game's settings and save folder, for example, by entering the following string in the "Run" dialog (through the Start menu - Run or by pressing Win+R): %userprofile%\My Documents\My Games\ (the path further depends on the game).
The folder should be created when the game is launched or installed. If the folder and the .cfg configuration files are missing, the game cannot create or access them. In this case, the problem might be with the user profile. You can try running the game's executable file with a right-click - "Run as administrator," or rename the user (to a shorter name, using Latin characters) or create a new user account and check the behavior there.