You probably need to provide more information than that if you need help. Borderlands savegame files are in the My Documents\My Games\Borderlands\SaveData folder on the PC.
If that doesn't help you then you need to let us know whether you are trying to find a savegame on a PC, PS3, or Xbox 360 and tell us what version of WillowTree# you are using.
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it just says that there isn't anything in the folder
You probably need to provide more information than that if you need help. Borderlands savegame files are in the My Documents\My Games\Borderlands\SaveData folder on the PC.
If that doesn't help you then you need to let us know whether you are trying to find a savegame on a PC, PS3, or Xbox 360 and tell us what version of WillowTree# you are using.