The tricky thing is that the NC file is by default saved to the directory where you started VNL from.
It's quite obvious what this folder is if you started it from the command line (in either Windows or Linux).
If, however, you double-click the desktop icon on Windows, the files are saved in the "Start in" folder of the icon. You can change this folder to whatever you want, but by default it is your profile directory, which is a bit different on Windows XP/Vista/7 (on XP it is precisely as the previous answer says). You can go to the profile folder by clicking the "Home" button inside VNL.
On Linux, the home folder is your user home directory ($HOME).