Vista / Windows 7
C:\Users\[user]\My Documents\My Games\DiRT2\savegame
This was for Steam version. It is probably the same for regular install.
Probably this for Windows XP
C:\Documents and Settings\[user]\My Documents\My Games\DiRT2\savegame
Edit File: hardware_settings_config.xml
Has resolution and graphics settings, etc.
Some people have had issues because of Games For Windows Live
If you have issues: Codemasters DiRT 2 support forum