Where do I put an import/export script in .py format?

So I downloaded an import/export script for PSK for Blender and then I opened up the Blender folder in my Program Files expecting to find a sub-folder labeled ‘scripts’ or something of the line where I would attempt to drop this .py file. However, it looks like when I installed Blender it dumped everything loose into one folder. How/where do I put the .py so that it will show up on my import/export menus in Blender or how else do I make use of it?

This is one possible location but may dependon your particlar installation. Do a forum search for scripts folder and there are lots of hits.
http://blenderartists.org/forum/showthread.php?t=190409&highlight=scripts+folder