Try clicking the "libraries" button (in the task bar) and see if the files are in "videos".
With W7 you probably have Windows Live Essentials Photo Gallery installed. Open that and make sure "all photos and videos" are selected in left hand column. Again see if you can locate your files. If you can see them you can right click them and on the "general" tab you will see the file location (where it is).
As to where the files go by default. I would have to try it as I always always :) use the "browse files" option rather than having W7 automatically import stuff.
Maybe try a test file with just one video on your camera at a time so you can see what happens and how to change it.