All Bisq data is stored in one place:
Windows 7+: C:\Users\<username>\AppData\Roaming\Bisq
Windows XP: C:\Documents and Settings\<username>\Application Data\Bisq
There’s an issue with Windows that is yet to be solved. This is the advice that can be found on the Github releases page for the Bisq software:
Windows:
There is a known issue with Anti Virus software. We got several reports from users running into different problems. Either the AV software blocks Bisq or Tor, delete files in the data directory [2] or app directory [1]) or cause such a long delay at startup that Tor gets terminated and a file remains locked which can cause that Bisq cannot be started afterwards. To resolve that you need to restart Windows then the lock get released. We are working on solutions to fix those issues.
If you use Crypto currencies on your Windows system be aware that Windows is much more vulnerable to malware than Linux or OSX. Consider to use a dedicated non-Windows system when dealing with cryptocurrencies.
[1] Application directory (contains application installation files):
C:\Users\AppData\Local\Bisq
[2] Data directory (contains all Bisq data including wallet):
C:\Users\AppData\Roaming\Bisq\btc_mainnet\tor (you can delete everything except the hiddenservice directory)
Try that if my advice for disabling the antivirus didn’t work.