Okay, so bring the 'Preferences' window back up again, and where it says 'Default Project Path' it should tell you where the file is saved. easyPRAY places your .agents files wherever you tell it to, so it's a good idea to make sure you save them somewhere that's easy to remember.
You can always change where easyPRAY saves your files by clicking the folder next to 'Default Project Path', and browsing to a different folder on your computer. For example, my files are always saved here:C: \...\Documents\Creatures Development\Projects
I hope this helps! 