Likewise I cannot find them either. The problem is that certain apps cannot access the Program Files directory. For instance my JDownloader could not access the default directory in its own folder so I had to specify a different download directory. I am wondering if SpeedFan has the same problem, it is unable to save to its own directory. Unfortunately Speedfan does not have the option to save the logs elsewhere (like in My Documents or something)
EDIT: Ok, found the solution. Run Speedfan as Administrator, more info will appear. I got access to SMART and HDD temps and it was able to write to the directory. You will have to reconfigure your temps and log info though.