There are 8 slots available in the game (1-8). So, the game saved in slot 1 will be stored in the save file GTASAsf1.b and the game saved in slot 5 will be stored in the save file GTASAsf5.b.
The save files themselves are named in the format GTASAsfX.b where X represents the in-game slot number. Note also that the executable can be modified to use a different file location through the use of a hex editor and special registry key in a process outlined at GTAForums or use Save Game Path Editor Obviously those locations can vary based upon different Windows configurations or installation options.
Some typical locations for a user with an account named 'Fred' would be: The location of this folder varies depending upon the version of Windows installed. By default, GTA SA places its saved game files into the folder 'GTA San Andreas User Files' which is located in the current user's Documents folder.