On your hard drive for sure unless you install some module to use S3 as the filestore destination. It can be any folder that you specified in your odoo.conf. Otherwise, it depends on your OS. On Windows, it will default to  C:\Program Files\Odoo\filestore and on Linux maybe it'd be like:  /var/lib/odoo/filestore. It's also super easy and fast to search your harddrive for a folder name filestore now adays.