In Windows Vista and Windows 7:
C:\Users\\AppData\Local\Microsoft\Windows\Temporary Internet Files\
C:\Users\\AppData\Local\Microsoft\Windows\Temporary Internet Files\Low\
In Windows XP:
C:\Documents and Settings\\Local Settings\Temporary Internet Files\
They are usually located in the C: Drive, but can be elsewhere if you specify for them to be stored elsewhere. For more information on locating your Temporary Internet Files, please see the "Related Links" section of this answer.