Where does Firefox store bookmarks?

Actually, Firefox stores your bookmarks in a file called "places.sqlite" in the profile folder. The full path for that file is:

C:\Documents and Settings\<user>\Application Data\Mozilla\Firefox\Profiles\*.default\places.sqlite

If you double click on "bookmarks.html" which UK has pointed, you cannot see your recorded bookmarks in it. You can use Bookmarks -> Organize Bookmarks -> Import and Backup to export your bookmarks into json or html formats.