Want to know where ArcGIS stores the *.sde files, then look below:
In Windows XP they were here:
C:\Documents and Settings\username\Application Data\ESRI\ArcCatalog
In Windows 7 they are here:
C:\Users\username\AppData\Roaming\ESRI\Desktop10.0\ArcCatalog
If not there, try here:
C:\Users\username\AppData\Local\ESRI\Desktop10.0\ArcCatalog