If you've chosen the default install, there's a shortcut to your data folder inside the main mGalaxy folder
(the shortcut is pointing to c > users > yourname > appdata (hidden folder) > roaming > mGalaxy)
This folder contains indeed a folder per system, with icon.png, favorites.ini, last10.ini, top10.ini files inside.
If you've chosen a 'portable' install the data folder is inside the main mGalaxy folder.
If you tell me that this folder just contains 'icon.png' this is perhaps due to the fact that windows doesn't let mGalaxy write directly inside ProgramsFiles > mGalaxy (this is a known fact).
What installation did you chose? Can you see your favorites when you start mGalaxy?