Usually, it is in the "Documents and Settings" folder under your username. You will also need to "show hidden files and folders" to be able to see the Temporary Internet Files directory.
In IE, it's located at "c:\documents and settings\{user name}\local settings\temporary internet files". If you can't see it, go to "Tools -> Folder Options" and click the "View" tab. Uncheck "Hide Protected Operating System Files" and select "Show hidden files and folders".
In Firefox, it's at "C:\Documents and Settings\{user name}\Application Data\Mozilla\Firefox\Profiles\{random characters}.default\cache".
The easiest way to clear both of those, however, is with CCleaner.