It depends on what files you are taking about. It's like asking where all the shoes are, it's possible to keep them in about a 1,000 places.
If you put a file on the floppy disk, that's where it will be, if it's in your email, it will be there. But your email files are probably stored on the hard drive of your PC or on the servers of your email provider.
Most files would be on the hard drive of the computer.