In SQL Server, by default the recovery mode is set to FULL. In FULL recovery mode and BULK LOGGED recovery model, the transaction log will keep on growing until you do something about it. See this thread on what you need to do about it: http://www.sqlteam.com/forums/topic.asp?TOPIC_ID=184962
As to your question about how to find where the files are, use this query:
SELECT DB_NAME(database_id) AS db,name, physical_name FROM sys.master_files
But don't do anything to the physical file. That can be fatal to your database.
If you can live with recovery only based on full backups, you could change the recovery model to simple. I assume you do take regular backups of the database. If you don't you should do that immediately.