Mollie:
I've figured it out!
Here is the path that we need to use.
XP: C:\Documents and Settings\All Users\Application Data\Adobe\Photoshop Elements\5.0\Photo Creations\special effects
Vista: C:\ProgramData\Adobe\Photoshop Elements\5.0\Photo Creations\special effects
(replace 5.0 with 6.0 if that is your version)