When you upgrade to Windows 7, the operating system will create a new folder on the system root (i.e. C:\) called Windows.old. Within it will be everything that existed in your previous version of Windows. If you imported user files, it will not have moved your save games because Morrowind stores its saves in Program Files.
So the directory of your save game will probably be something like C:\Windows.old\Program Files\Bethesda Softworks\Morrowind\Saves. You will not be able to play them there; you will need to move them to the appropriate directory in your new Morrowind install. Note also that, if you have a 64-bit system, it will be in Program Files (x86) instead of Program Files.
Also, it is a good idea to run Morrowind as an administrator in Windows 7 because, if it is installed in the default Program Files folder, it will be protected by User Account Control. That can cause problems when writing saves.