Most programs do not thoroughly clean up after themselves, and it is nearly impossible to complete remove all traces as there is no comprehensive log of what files the program created/modified. However, such saved game files are usually located in either C:\ProgramData or C:\Users\<your Windows username>\AppData, both of which are hidden directories. Once there, though, look for a folder by the name of the game, name of the developer, etc. and either rename or delete it, depending on how sure you are you won't need/want any of its contents.

Hope this helps,
John