Replays can go in "C:\Documents and Settings\<yourname>\Application Data\My The Lord of the Rings, The Rise of the Witch-king Files". In this folder, there should be another folder called "Replays" where you can, well, put replays . If there isn't a folder that says replays, you can simple make a new one.
So it doesn't go in the RJ file. Thanks for the help!