Supreme Commander does not store your savegames and replays in the game's install directory or My Documents. Instead you will have to copy the contents from local user directories depending on which version of Windows you are running.
For Windows XP, the files are contained in:
X:\Documents and Settings\your_windows_username\Local Settings\Application Data\Gas Powered Games\SupremeCommander
For Windows Vista, the files are contained in:
X:\Users\your_windows_username\AppData\Local\Gas Powered Games\Supreme Commander
Replace "X:" with the drive letter of your Windows install (usually "C:"), and "your_windows_username" with your Windows username.