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Originally I was thinking if you didn't need to install the game probably doesn't make a locallow folder but after some thought i'm sure I'm wrong about that. Shouldn't matter at all to begin with. So long as you're able to open the game the game data will be saved in local low if not, at least somewhere else. So yeah I was wrong to ask for the screen shot but i was just curious if you needed to install the game or not like steam. Idk if you are able to get the steam version and install it and see if that will create the folder in LocalLow. I'll try find out where else the folder can be found.

I thought of that but since me and my friend have the same game, mine should have these files saved too since he has them?

Yep!