The only such directory I have is C:\Users\George\AppData\Roaming\gretl. There is only Rout file there, being gretl.Rprofile.Rout.
Not sure if it's relevant, when doing a listing of directories, only the C:|Users|George sub-directory was listed/visible, and I have to type in and add the /AppData/Roaming/gretl bit in order to get to this sub-directory and see the contents.