The existing answer in incomplete.
Applications running in wine can store data in the locations specified in
Those can also be specified graphically. To do so, launch
Configure Wine from the dash and switch to the tab
Drives. The rest should-be self-explanatory.
By default, there are 2 "drives" (as Windows calls them):
c: by default points to
../drive_c which at that location is equal to
~/.wine/drive_c. So if the application running in wine stored its data on drive
c:, it's in there.
z: points to
/ which is your file system root. This means that by default wine applications can access all files on your system provided wine has the rights to do so. So (by default) your user rights.
Anyways, it's likely that the application stored it's data on drive
c: and therefore in
~/.wine/drive_c but I think the above is worth knowing, especially if you don't find the file you're searching in