The folders aren't created until after you have run the game at least once.
edit: nevermind AppData is a hidden folder. You won't see it unless you are showing hidden folders.
Goto your user folder. Click the little arrow by Organize and then on Folder and Search Options. On the view tab is a pair of radio buttons indicating Showing and Not Showing Hidden Files and Folders. Select the one that says "Show hidden files and folders". Click OK. And then you should see it.
