Ok, here goes...
The folder path is partially, at least under XP, hidden so make sure you can view hidden files and folders before trying this. Then go to the folder and manually delete the saves.
If you then go one folder up from the save_games folder in the folder hierarchy there's another folder, among many others, named fx_cache. Just delete all the files inside this folder too.
XP:
C:\Documents and Settings\your username\Application Data\The Creative Assembly\Empire\save_games
Vista:
C:\Users\YOURNAME\AppData\Roaming\The Creative Assembly\Empire\save_games
