This guide helps locate Castlevania Anniversary Collection its saved files and directories.
Offline Save Files Location
Find these (hidden) files on the computer. They are located at:
C:\Users\[username*]\AppData\Roaming\Castlevania Anniversary Collection\savedata\
It is important to enable Show hidden files, folders, and drives in Windows Explorer Folder Options, or else these files and folders will not be visible.
*This differs from user to user.