The name says it all
On Linux or mac OSX: ~/.blender/scripts. (where ~ means your home directory). Or somewhere in /usr/ on Linux or inside Blender.app on Mac for system-wide installation. On Windows I don’t know, but look around for a directory called “scripts”.
If the script has the right metadata in it, then Blender will put it in its menus. (Search the forums or look at example scripts to find about what the metadata text is supposed to be)
dang i have windows
Look for a file called Blender Foundation (C:\Documents and Settings\ Username\Application Files… etc. In there is a folder called Scripts. If the scripts you add into that folder have the identification code on top they will be found if you go to the Info window and click the update icon in the file path for python.