If your looking for the Local Disk folder it is here:
C:/Program Files or Program Files x86/Steam/SteamApps/Common/Football Manager 2012
Or if your looking for the place to save your logos/tactics/etc..
Documents/Sports Interactive (if you have two sport interactive folders its the second one)/Football Manager 2012/ then what ever folders you have
- If you are missing any of the folders above, i recommend that you do create them