Hmmm what do you see in Documents and settings? Tried diffrent folders? I got mines in "Sweeper" however there exists a folder named Sweeper.WINDOWS as well.
Also in some translated windows versions, the folder has a diffrent name.
I don't have application data, mine is called "Programdata" Norwegian for Application data, so also have a look for something similar in your mother tongue language.
Where is the savegame folder located?
On a winXP/win2000 you will find the Need for Speed Underground 2 savegame in C:\Documents and Settings\[your username]\Local Settings\Application Data\NFS Underground 2 dir. You can also do a search for "NFS Underground 2". Just make sure you check the "search hidden files and dirs" option.
You can se right here that i can see hidden folders, but when i open the Application Data folder there is no NFS Underground 2 folder, it is weird. .. .
Local Settings in danish is Lokale indstillinger, am I correct?
So look in there.
The save game is NOT in User/Application Data, but it User/Local Settings/Application data
And if you do the same thing in the all users directory?
Have you got a save game yet? NFS makes his savegame folder only when you actually saved a game.
Maybe someone else was logged in when you saved the game?