Depending on the OS and the way you installed Blender* the scripts are stored in a different location. On Windows 7 for example:
If the directory is empty you should probably reinstall Blender. If it’s not emtpy you need to set the path for Script Directory. Pull down your User Preference Window and select the tab “File Paths”. Now set the correct path in the field called “Python Scripts”. Press the button next to the folder icon (it says “Re-evaluate script registration in menus”).
Blender should now find all scripts located in .blender\scripts.
Take a look at this tutorial if you want a guide with pictures.
*= Blender can also use a “%Home”-Variable, but that is not the default option.