They should be stored in one folder - Have you checked the game folder? Perhaps your children are allowed to choose a savepoint anywhere on the hard drive, I suggest you look up one save, remember it's extension and use the Windows search in order to find them all.
If you cannot remove them, be certain that the game is not running or boot into safemode and remove them from there.
Uninstalling the game may help as well, it will most likely prompt you to remove User accounts and savegames or other user-end things.
