Yep - hidden, and in a silly place. Once you find the file, you can move it to somewhere more sensible and use it from there. I put it under "My Documents", which I back up regularly.
I can't imagine how many calls Microsoft has had about this, over the years, and how much their support people must hate this bit of bad design. Their document
287070 has more on these files, including links to other documents on ee.g. how to move them.