Hello there i want to know where i can find the savegame.
i want to reinstall windows and want to backup it.

I could'nt find it aswell, but if i think currectly Worms Ultimate Mayhem uses "Steam-Cloud" so you could basicaly play Worms Ultimate Mayhem on a other PC (if you uses your own Steam account) and still play with the same progress of your savefile of your own PC.

For more info about this feature go here http://steampowered.com/steamworks/ov_cloud.php

-Jona

It's stored in:

<Your Steam Directory>\userdata\<a number here>\70600\remote\savegame.xom

Since it's in the userdata folder, Steam should back it up automatically in the Steam Cloud as has already been said, but you can find it here for a hard copy.