For the record, both JR and Duncan are right. Well, actually, if you want to get technical, they're both partly wrong.
The proper path is %appdata%\Microsoft\FSX.
%appdata% is an environment variable that automatically goes to your AppData\Roaming folder, so therefore, %appdata%\Microsoft\FSX gives you <drive>:\Users\<username>\AppData\Roaming\Microsoft\FSX in Windows Vista or 7, or <drive>:\Documents and Settings\<username>\Application Data\Microsoft\FSX in XP.
JR was right in the path, but he didn't specify that it's specifically for Vista and 7 (though it could be easily inferred, as we know Tregarth is using 7 from his screenshots). Duncan got the environment variable and path right, but the slashes are in the opposite direction.