I'm using WinXP, and my Fences snapshots live here:
C:\Documents and Settings\<<user name>>\Application Data\Stardock\Fences\Backups

The location will be slightly different if you're on WinVista or Win7.

The real challenge for most users is that the Application Data folder is hidden by default.  You can either change the Windows Explorer settings to show hidden folders & files, or manually enter the path into the address bar.

You can probably take advantage of a standard Windows environment variable regardless of which version of Windows you are using.  Try entering the following line into your Windows Explorer address bar:
%appdata%\Stardock\Fences\Backups

Alternatively, you could use the "Start" - "Run..." menu item, and paste the address into the "Open:" text area of the new window.

Hope this helps!