It should be wherever you exported it to ^^ What I can do at this point is somewhat limited, as I have a newer version of Blender and I don't want to mess it up by installing an older one - but from what I can tell, by default it saves to wherever you have Blender installed. So if you downloaded the .zip version, it'll probably be in C:\Users\<you>\Downloads\blender-2.49b-windows\blender-2.49b-windows\.blender. If you installed it using the .exe, it could be in C:\Program Files\Blender Foundation\Blender. If all else fails, you could try changing the directory for the export by manually typing in a new path up top above the file name; for example, if you type in C:\, it should save it to your C: drive.
If you still can't find your export, I'll need a detailed description of what you're doing so I can try to troubleshoot for you. ^^