For a portable install:
[installed folder]\UserData\Users\guest\Favorite
Installer version:
C:\Users\[USER_ACCOUNT]\AppData\Roaming\Maxthon3\UserData\Users\guest\Favorite
Don't use the PortableApps.com version. To my knowledge Maxthon don't officially create a PortableApps.com version, they're created and uploaded by users. It's possible if they don't notice, some of their custom settings might be transferred when creating the portable installer file. That is why the N: drive is showing.
I'd recommend downloading directly from the forum, just download and extract the portable version:
4.4.8.2000 : http://forum.maxthon.com/index.php?/topic/19076-maxthon-browser-for-windows-v4482000-officially-released/
4.9.3.1000: http://forum.maxthon.com/index.php?/release-notes/
Or you can just press the "restore defaults" button in the top right of settings to restore it. Note you'll lose any other customisations as well.
Otherwise the default folders are:
Cache: C:\Users\[USER_NAME]\AppData\Local\Temp\Maxthon3Cache\Temp\Webkit\Cache
Quick Save: C:\Users\[USER_NAME]\Pictures
USER_NAME = your Windows username path