The templates are saved on database, by default.
If you want to save them as files, you need to enable this feature on Design > Templates > Global Preferences > Save Templates as Files. Their default location is the folder of your website and "system/expressionengine/templates", if you don't changed the name of the system folder. You can change the directory where they are saved on Design > Templates > Global Preferences > Basepath to template directoy. You need to fill this field with the full server path.
If you already have templates on database, you can edit them on Design > Template Manager > Template Group > Template name. You'll find a check box "Save template as file".
The template as files and on database can be synchronized on Design › Templates › Synchronize Templates.
Some developers synchronize the templates, disable the feature of saving the files and delete them before launch the website.
You can read about saving your templates as files on documentation.