If you're on Windows, they are in your APPDATA folder, which by default is hidden (you would need to go to "folder options" and enable viewing of hidden folders) under "documents and settings" then your login user name, although in my experience it can be in slightly different places depending on what version of Windows.
On Linux, I forget. (Sorry.)
If you have a Mac, you'll have to look in the wiki or in the Mac installer thread (IIRC there was discussion on exactly where the files should be placed, and I think it was changed at some point).