Where is the CPUs instruction set stored?

The CPU's instruction set is not stored anywhere. Rather, it is an integral part of the silicon that the CPU is made out of. The "instruction set" is actually a metaphor used to describe the different effects of charges at different points in the CPU. Just because I call a certain operation "add" doesn't mean anything to the CPU. Charges are applied and due to the way they are applied, different transistors open and close, providing different effects.