The screensavers that come with windows are in the windows folder, but downloaded savers are usually in their own folder. Use explorer (winkey+e, or start,run, explorer) to look at the folder tree (in the left pane after you click 'folders'). If you can recognize the name, fine; otherwise, download it again, this time paying attention to where it's put - it will likely go to the same place it did before.
Do a search on your computer for *.scr and you will find the Windows Screen Savers in the C:\Windows\System32 folder as paddyslammer suggested. You will also find some of the "downloaded" ones there also.
If you downloaded and installed a screen saver off the Interent the odds are that it should have a "uninstall" in the Program folder or you can remove it from "Add/Remove Programs" in Control Panel. I know that some of the SS's that I downloaded and installed created their own folder under "Program Files".