It depends.
If you are using the new editor, then working copies of your project file and your code are placed in your user-specific temp directory. Other files are created in the temp directory within your DBPro installation directory.
Windows 7/Vista: \Users\<username>\AppData\Local\Temp
XP: \Documents and settings\<username>\Local Settings\Temp
If you still use the original editor, then everything is in the temp directory in the DBPro installation directory.
[edit]Doh, that's where the compiler and editor place their files.
The runtime file copies are placed in the user-specific temp directory, under another directory that starts with dbpdata and may end with a number.
You can get that for your executable as it is running by using one of my plug-in functions:
print DIR DBPRO TEMP()
wait key
