Waldemar,
Did you check under C:\Program Files\Cisco Systems\VPN Client\Certificates or the subdirectory of the directory where the VPN Client is installed? The enrollment requests is stored there. I guess, the certificates should be there too.
Certificates usually use the .cer extension. You could try searcing for the same using the start>search option on your windows machine.
If you are using smartcards, the certificate is stored on your smartcard.
Hope you find them!