Almost anywhere. I will include a link to the Wikipedia article in the related links. But basically in 1943 the US government needed copper to fight WWII so they made some composition changes to the penny (the nickel was also changed from 1942-1945 to add in 35% silver!) which was to create them out of zinc-coated steel. The problem with this was that magnets in vending machines were designed to prevent steel slugs from being used as legitimate currency (keep in mind this was 1943 where a penny could still buy some things) making them impossible to use in vending machines. Also, in circulation whenever the coin would come in contact with moisture such as sweat from being in pockets, the coin would rust. This meant that coins deteriorated at an alarming rate. Eventually the US government destroyed many of them, but there are a lot of them still in private collections making them easy to collect with most pieces running from 3 to 10 cents depending on condition.
The best way to find out if it is real, simply use a magnet. It will cling to the magnet if it is a real steel penny.
No. No genuine US coin other than the 1943 steel penny will stick to a magnet. If you have a US coin that sticks to a magnet other than the steel penny, it is a counterfeit.
They were steel, not silver.
Try the magnet test, if it sticks to it, it's steel.
The 1943 steel penny.
Test it with a magnet. 1943 steel cents are magnetic. 1944 copper cents are not.
1943 was the ONLY year Lincoln cents were struck on steel planchets. Check it with a magnet, if it is steel it's not a US coin.
Will it stick to a magnet? If not, it is not steel. There are no genuine 1972 steel cents. 1943 only.
Neither the original copper or the newer version copper-zinc penny is magnetic. The 1943 steel penny was the only penny effected by a magnet.
Try to pick it up with a magnet.
The vast, vast, vast, majority of 1944 pennies are copper. If it sticks to a magnet it /might/ be steel, though you'd have to take it to an expert to make sure it wasn't altered from a steel 1943 penny.
Put it under a magnet. If it sticks it is a steel penny. If it does not stick take to a collector or professional who can examine it further and give you a answer.